arima.rob.fit {robustarima}R Documentation

Robust Fitting of a REGARIMA Model

Description

This is an internal function called iteratively by arima.fit. Users are not likely to ever call it directly.

Usage

arima.rob.fit(formula, data, contrasts = NULL, start = NULL, end = NULL,
     p = 0, q = 0, d = 0, sd = 0, freq = 1, sfreq = NULL, sma = FALSE,
     max.p = NULL, auto.ar = FALSE, n.predict = 20, y.cleaned = NULL,
     tol = 10^(-6), max.fcal = 2000, method = "fit", ...)

Arguments

formula

a formula object, with the response on the left of a ~ operator, and the terms, separated by + operators, on the right.

data

a data frame or a "timeSeries" object with a data frame in the data slot, which is used to interpret the variables named in formula. If this is missing, then the variables in formula should be on the search list. Missing values are not allowed.

contrasts

the same as the contrasts argument for lm function.

start

a character string which can be passed to timeDate function to specify the starting date for the estimation. This can only be used if the data argument is a "timeSeries" data frame. The default is NULL.

end

a character string which can be passed to timeDate function to specify the ending date for the estimation. This can only be used if the data argument is a "timeSeries" data frame. The default is NULL.

p

the autoregressive order of the errors model. The default is 0.

q

the moving average order of the errors model. The default is 0.

d

the number of regular differences in the ARIMA model. It must be 0, 1 or 2. The default is 0.

sd

the number of seasonal differences. It must be 0, 1 or 2. The default is 0.

freq

the frequency of data. The default is 1.

sfreq

the seasonality frequency of data. If NULL, it is set to be equal to freq. The default is NULL.

sma

logical flag: if TRUE, the errors model includes a seasonal moving average parameter. The default is FALSE.

auto.ar

logical flag: If TRUE an AR(p) model is selected automatically using a robust AIC criterion. The default is FALSE.

max.p

the maximum order of the autoregressive stationary model that approximates the ARMA stationary model. If NULL, max.p=max(p+q,5). If q=0, then max.p is not necessary. The default is NULL.

n.predict

the maximum number of future periods for which we wish to compute the predictions. The default is 20.

y.cleaned

the cleaned response series.

tol

the tolerance for convergence.

max.fcal

the maximum number of function evaluations.

method

a string that specifies the method.

...

extra arguments passed to or from other methods.

Value

an object of class "arima.rob". See link{arima.rob.object}.

See Also

arima.rob

Examples

# See arima.rob for example

[Package robustarima version 0.2.7 Index]