armafit

The default ARMA estimation function is somewhat unfriendly. Most notably, it throws students off by calling something an “intercept” when it’s actually the mean.

Example usage:

f <- armafit(x, 1, 1) # Estimate ARMA(1,1) model of x
f <- armafit(x, 1) # Estimate AR(1) model of x
f <- armafit(x, ma=4) # Estimate MA(4) model of x
f <- armafit(x, 3, 2)
f <- armafit(x, ar=2)

Print the coefficients

f$par

Notes:

Make predictions

predict(f, 12) # Horizon 1-12 predictions

Fitted values

f$fitted

Residuals

f$residuals

Compatibility with Arima objects

The output is fully compatible with an Arima object. You can use it as an argument with any function expecting Arima output. Examples:

AIC(f) # Calls the function for Arima object
BIC(f)