um function

Univariate (ARIMA) model

um creates an S3 object representing a univariate ARIMA model, which can contain multiple AR, I and MA polynomials, as well as parameter restrictions.

um(
  z = NULL,
  ar = NULL,
  i = NULL,
  ma = NULL,
  mu = NULL,
  sig2 = 1,
  bc = FALSE,
  fit = TRUE,
  envir = parent.frame(),
  ...
)

Arguments

• z: an object of class ts.
• ar: list of stationary AR lag polynomials.
• i: list of nonstationary AR (I) polynomials.
• ma: list of MA polynomials.
• mu: mean of the stationary time series.
• sig2: variance of the error.
• bc: logical. If TRUE logs are taken.
• fit: logical. If TRUE, model is fitted.
• envir: the environment in which to look for the time series z when it is passed as a character string.
• ...: additional arguments.

Returns

An object of class um.

Examples

ar1 <- um(ar = "(1 - 0.8B)")
ar2 <- um(ar = "(1 - 1.4B + 0.8B^2)")
ma1 <- um(ma = "(1 - 0.8B)")
ma2 <- um(ma = "(1 - 1.4B + 0.8B^2)")
arma11 <- um(ar = "(1 - 1.4B + 0.8B^2)", ma = "(1 - 0.8B)")

References

Box, G.E.P., Jenkins, G.M., Reinsel, G.C. and Ljung, G.M. (2015) Time Series Analysis: Forecasting and Control. John Wiley & Sons, Hoboken.