Estimate ARIMA Model with Hannan-Rissanen method

Usage

sarima_hannan_rissanen(
  x,
  order = c(0, 0, 0),
  seasonal = list(order = c(0, 0, 0), period = NA),
  initialization = c("Ols", "Levinson", "Burg"),
  biasCorrection = TRUE,
  finalCorrection = TRUE
)

Arguments

x: an univariate time series (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).
initialization: Algorithm used in the computation of the long order auto-regressive model (used to estimate the innovations)
biasCorrection: Bias correction
finalCorrection: Final correction as implemented in Tramo

Value

An object of class JD3_SARIMA with the estimated coefficient.

Examples

y <- ABS$X0.2.09.10.M
model<- sarima_hannan_rissanen(y, order = c(0, 1, 1), seasonal = c(0, 1, 1))