Subset AR Model Fitting

Comprehensive model building function for identification, estimation and diagnostic checking for AR and subset AR models. Two types of subset AR models are supported. One family of subset AR models, denoted by ARp, is formed by taking subet of the original AR coefficients and in the other, denoted by ARz, subsets of the partial autocorrelations are used. The main advantage of the ARz model is its applicability to very large order models.


CHANGES IN 'FitAR' VERSION 1.93 (2013-03-15) o removed dependency on bestglm o added function toBinary() o minor adjustment to InvertibleQ() and PacfToAR() CHANGES IN 'FitAR' VERSION 1.85 (2010-08-27) o BICqLL() finds optimal model using GIC o GetLeapsAR() added GIC, BICq, EBIC o minor adjustment to GetFitARpMLME() o adjustments to GetFitARpLS() o definition of Box-Cox in Rd files corrected (thanks LHC). CHANGES IN 'FitAR' VERSION 1.86 (2010-09-08) o added Caffeine time series CHANGES IN 'FitAR' VERSION 1.87 (2010-09-10) o fixed bug with FitAR when argument p contains noninteger or nonnegative values o fixed bug SelectModel when Best=Candidates=1 o fixed bugs GetFitARp, GetARpLS, GetFitARz when pvec is numeric(0) o fixed bug GetLeapsAR, does not return numeric(0) o added vignette to accompany our BICq paper CHANGES IN 'FitAR' VERSION 1.88 (2010-09-20) o added GIC CHANGES IN 'FitAR' VERSION 1.89 (2010-12-01) o fixed NAMESPACE error CHANGES IN 'FitAR' VERSION 1.91 (2011-02-17) o corrected bug in BoxCox.numeric() CHANGES IN 'FitAR' VERSION 1.92 (2011-02-17) o corrected warning in GetFitARpMLE

Reference manual

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1.94 by A.I. McLeod, 6 years ago

Browse source code at

Authors: A.I. McLeod , Ying Zhang and Changjiang Xu

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports lattice, leaps, ltsa

Depends on lattice, leaps, ltsa, bestglm

Imported by SK.

Depended on by FitARMA, deseasonalize, sarima.

Suggested by portes.

See at CRAN