XploRe Help : msarimamodel

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.

Reference(s):

Shumway, R.H. and Stoffer, D.S. (2000): Time Series Analysis and Its Applications. New York (Springer), pp.155-166

Usage:	`msarimamodelOut = msarimamodel(d,arma,season)`
Input:
	`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).
Output:
	`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

Example:

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

Result:

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