Estimate SARIMA Model

Estimate SARIMA Model

Usage

sarima_estimate(
  x,
  order = c(0, 0, 0),
  seasonal = list(order = c(0, 0, 0), period = NA),
  mean = FALSE,
  xreg = NULL,
  eps = 1e-09
)

Arguments

x

an univariate time series (class Ts object).

order

vector specifying of the non-seasonal part of the ARIMA model: the AR order, the degree of differencing, and the MA order.

seasonal

specification of the seasonal part of the ARIMA model and the seasonal frequency (by default equals to frequency(x)). Either a list with components order and period or a numeric vector specifying the seasonal order (the default period is then used).

mean

should the SARIMA model include an intercept term.

xreg

vector or matrix of external regressors.

eps

precision.

Value

An object of class JD3_SARIMA_ESTIMATE containing:

• the estimated parameters,

• the raw data,

• the regressors,

• the standard errors,

• the log-likelihood (with the number of observations, the number of effective observations, the number of parameters, the log-likelihood, the adjusted log-likelihood, the AIC, the AICC, the BIC, the BICC, and the sum of squares),

• the residuals,

• the orders of the model.

Examples

y <- ABS$X0.2.09.10.M
sarima_estimate(y, order = c(0, 1, 1), seasonal = c(0, 1, 1))
#> SARIMA model: (0,1,1) (0,1,1) [12]
#> 
#> Coefficients
#>  theta(1) btheta(1) 
#>   -0.8764   -0.3875 
#> 
#> No regression variables
#> 
#> For a more detailed output, use the 'summary()' function.