Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: msarimacond msarimaconvert

Quantlet: msarimamodel
Description: used to specify a multiplicative seasonal ARIMA model. The arguments of the quantlet are three lists that give information about the difference orders, the ordinary ARMA part and the seasonal ARMA part.


Usage: msarimamodelOut = msarimamodel(d,arma,season)
d list containing at most two elements:
d.el1 Defintion integer, order for ordinary differences list specifying the ordinary AR and MA parts, composed at most of four elements:
d.el2 Defintion integer, (optional) order of the seasonal difference vector, AR lags
arma vector, MA lags
arma.el1 vector, coefficients of the AR part
arma.el2 vector, coefficients of the MA part If your model has only one part, set the lags of the other part to 0. In this case specify only one coefficient vector. If your model has no ordinary ARMA part, just set arma=list(0,0).
arma.el3 list specifying the seasonal AR and MA parts, composed at most of five elements:
arma.el4 scalar, season (e.g. 4, 12)
season vector, seasonal AR lags
season.el1 vector, seasonal MA lags
season.el2 vector, coefficients for the seasonal AR part
season.el3 vector, coefficients for the seasonal MA part If your model has only one part, set the lags of the other part to 0. In this case specify only one coefficient vector. If your model has no seasonal part, just set season=list(0).
msarimamodelOut list - composed of d, arlag, malag, s, sarlag, smalag, phi, theta, Phi, Theta - containing all information about the multiplicative seasonal model.
msarimamodelOut.d vector, difference orders
msarimamodelOut.arlag vector, ordinary AR lags
msarimamodelOut.malag vector, ordinary MA lags
msarimamodelOut.s vector, season
msarimamodelOut.sarlag vector, seasonal AR lags
msarimamodelOut.smalag vector, seasonal MA lags
msarimamodelOut.phi vector, AR coefficients
msarimamodelOut.theta vector, MA coefficients
msarimamodelOut.Phi vector, seasonal AR coefficients
msarimamodelOut.Theta vector, seasonal MA coefficients

library("times")                     ; loads the quantlets of library times
arma   = list((1|3),0,(0.1|-0.25))   ; information on the ordinary ARMA part
season = list(12,0,(1|4),(-0.3|0.1)) ; information on the seasonal ARMA part
msarimamodelOut = msarimamodel(1,arma,season)
msarimamodelOut                      ; shows the list msarimamodelOut in the output window

List containing the whole information on the
multiplicative seasonal ARMA model:

Contents of msarimamodelOut.d
[1,]        1
Contents of msarimamodelOut.arlag
[1,]        1
[2,]        3
Contents of msarimamodelOut.malag
[1,]        0
Contents of msarimamodelOut.s
[1,]       12
Contents of msarimamodelOut.sarlag
[1,]        0
Contents of msarimamodelOut.smalag
[1,]        1
[2,]        4
Contents of msarimamodelOut.phi
[1,]      0.1
[2,]     -0.25
Contents of msarimamodelOut.theta
[1,]        0
Contents of msarimamodelOut.Phi
[1,]        0
Contents of msarimamodelOut.Theta
[1,]     -0.3
[2,]      0.1

Author: R. Chen, R. Schulz, 20020409 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006