Title

Title

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

a univariate time series.

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

Examples

y <- ABS$X0.2.09.10.M
sarima_hannan_rissanen(y, order = c(0, 1, 1), seasonal = c(0, 1, 1))
#> SARIMA model:  (0,1,1) (0,1,1) 12 
#> theta: -0.9414324 
#> btheta: -0.490663