The R Project SVN R

\name{ar}
\alias{ar}
\alias{ar.burg}
\alias{ar.burg.default}
\alias{ar.burg.mts}
\alias{ar.yw}
\alias{ar.yw.default}
\alias{ar.yw.mts}
\alias{ar.mle}
\alias{print.ar}
\alias{predict.ar}
\title{Fit Autoregressive Models to Time Series}
\usage{
ar(x, aic = TRUE, order.max = NULL,
   method=c("yule-walker", "burg", "ols", "mle", "yw"), na.action,
   series, ...)
ar.burg(x, aic = TRUE, order.max = NULL, na.action, demean = TRUE, series,
        var.method = 1)
ar.yw(x, aic = TRUE, order.max = NULL, na.action, demean = TRUE, series)
ar.mle(x, aic = TRUE, order.max = NULL, na.action, demean = TRUE, series)

predict(ar.obj, newdata, n.ahead = 1, se.fit = TRUE)
}
\arguments{
  \item{x}{A univariate or multivariate time series.}

  \item{aic}{Logical flag.  If \code{TRUE} then the Akaike Information
    Criterion is used to choose the order of the autoregressive
    model. If \code{FALSE}, the model of order \code{order.max} is
    fitted.}

  \item{order.max}{Maximum order (or order) of model to fit. Defaults
    to \eqn{10\log_{10}(N)}{10*log10(N)} where \eqn{N} is the number
    of observations except for \code{method="mle"} where it is the
    minimum of this quantity and 12.}

  \item{method}{Character string giving the method used to fit the
    model.  Must be one of the strings in the default argument
    (the first few characters are sufficient).  Defaults to
    \code{"yule-walker"}.}

  \item{na.action}{function to be called to handle missing values.}

  \item{demean}{should a mean be estimated during fitting?}

  \item{series}{names for the series.  Defaults to
    \code{deparse(substitute(x))}.}

  \item{var.method}{the method to estimate the innovations variance
    (see Details).}

  \item{...}{additional arguments for specific methods.}

  \item{ar.obj}{a fit from \code{ar}.}

  \item{newdata}{data to which to apply the prediction.}

  \item{n.ahead}{number of steps ahead at which to predict.}

  \item{se.fit}{logical: return estimated standard errors of the
    prediction error?}
}
\description{
  Fit an autoregressive time series model to the data, by default
  selecting the complexity by AIC.
}
\details{
  For definiteness, note that the AR coefficients have the sign in

  \deqn{x_t - \mu = a_1(x_{t-1} - \mu) + \cdots +  a_p(x_{t-p} - \mu) + e_t}{\code{(x[t] - m) = a[1]*(x[t-1] - m) + \dots +  a[p]*(x[t-p] - m) + e[t]}}

  \code{ar} is just a wrapper for the functions \code{ar.yw},
  \code{ar.burg}, \code{\link{ar.ols}} and \code{ar.mle}.

  Order selection is done by AIC if \code{aic} is true. This is
  problematic, as of the methods here only \code{ar.mle} performs
  true maximum likelihood estimation. The AIC is computed as if the variance
  estimate were the MLE, omitting the determinant term from the
  likelihood. Note that this is not the same as the Gaussian likelihood
  evaluated at the estimated parameter values. In \code{ar.yw} the
  variance matrix of the innovations is computed from the fitted
  coefficients and the autocovariance of \code{x}.

  \code{ar.burg} allows two methods to estimate the innovations
  variance and hence AIC. Method 1 is to use the update given by
  the Levinson-Durbin recursion (Brockwell and Davis, 1991, (8.2.6)
  on page 242), and follows S-PLUS. Method 2 is the mean of the sum
  of squares of the forward and backward prediction errors
  (as in Brockwell and Davis, 1996, page 145). Percival and Walden
  (1998) discuss both. In the multivariate case the estimated
  coefficients will depend (slightly) on the variance estimation method.

  Remember that \code{ar} includes by default a constant in the model, by
  removing the overall mean of \code{x} before fitting the AR model,
  or (\code{ar.mle}) estimating a constant to subtract.
}
\value{
  For \code{ar} and its methods a list of class \code{"ar"} with
  the following elements:
  \item{order}{The order of the fitted model.  This is chosen by
    minimizing the AIC if \code{aic=TRUE}, otherwise it is \code{order.max}.}
  \item{ar}{Estimated autoregression coefficients for the fitted model.}
  \item{var.pred}{The prediction variance: an estimate of the portion of the
    variance of the time series that is not explained by the
    autoregressive model.}
  \item{x.mean}{The estimated mean of the series used in fitting and for
    use in prediction.}
  \item{x.intercept}{(\code{ar.ols} only.) The intercept in the model for
    \code{x - x.mean}.}
  \item{aic}{The value of the \code{aic} argument.}
  \item{n.used}{The number of observations in the time series.}
  \item{order.max}{The value of the \code{order.max} argument.}
  \item{partialacf}{The estimate of the partial autocorrelation function
    up to lag \code{order.max}.}
  \item{resid}{residuals from the fitted model, conditioning on the
    first \code{order} observations. The first \code{order} residuals
    are set to \code{NA}. If \code{x} is a time series, so is \code{resid}.}
  \item{method}{The value of the \code{method} argument.}
  \item{series}{The name(s) of the time series.}
  \item{asy.var.coef}{(univariate case.) The asymptotic-theory
    variance matrix of the coefficient estimates.}

  For \code{predict.ar}, a time series of predictions, or if
  \code{se.fit = TRUE}, a list with components \code{pred}, the
  predictions, and \code{se}, the estimated standard errors. Both
  components are time series.
}
\author{
  Martyn Plummer. Univariate case of \code{ar.yw}, \code{ar.mle}
  and C code for univariate case of \code{ar.burg} by B. D. Ripley.
}

\note{
  Only the univariate case of \code{ar.mle} is implemented.

  Fitting by \code{method="mle"} to long series can be very slow.
}

\seealso{
  \code{\link{ar.ols}}, \code{\link{arima0}} for ARMA models.
}

\references{
  Brockwell, P. J. and Davis, R. A. (1991) \emph{Time
    Series and Forecasting Methods.}  Second edition. Springer, New
  York. Section 11.4.

  Brockwell, P. J. and Davis, R. A. (1996) \emph{Introduction to Time
    Series and Forecasting.} Springer, New York. Sections 5.1 and 7.6.

  Percival, D. P. and Walden, A. T. (1998) \emph{Spectral Analysis
    for Physical Applications.} Cambridge University Press.

  Whittle, P. (1963) On the fitting of multivariate autoregressions
  and the approximate canonical factorization of a spectral density
  matrix. \emph{Biometrika} \bold{40}, 129-134.
}

\examples{
data(lh)
ar(lh)
ar(lh, method="burg")
ar(lh, method="ols")
ar(lh, F, 4) # fit ar(4)

data(LakeHuron)
ar(LakeHuron)
ar(LakeHuron, method="burg")
ar(LakeHuron, method="ols")


data(sunspot)
sunspot.ar <- ar(sunspot.year)
sunspot.ar
ar(x = sunspot.year, method = "burg")
ar(x = sunspot.year, method = "ols")
\dontrun{## next is slow and may have convergence problems,
## as it cares about invertibility
ar(x = sunspot.year, method = "mle")
}
predict(sunspot.ar, n.ahead=25)

data(BJsales)
ar(ts.union(BJsales, BJsales.lead))
## Burg is quite different here, as is OLS (see ar.ols)
ar(ts.union(BJsales, BJsales.lead), method="burg")
}
\keyword{ts}