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.


News

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

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("FitAR")

1.94 by A.I. McLeod, 6 years ago


http://www.stats.uwo.ca/faculty/aim


Browse source code at https://github.com/cran/FitAR


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