[R] Whittle estimation for ARMA models
tzygmund mcfarlane
tzygmund at googlemail.com
Thu Aug 13 16:04:35 CEST 2009
Hi,
Does anyone know of a package/script that will implement the Whittle
(1953) estimator for the parameters of an invertible stationary ARMA
time series model? The estimator is defined on, for example, pg. 378
of Brockwell & Davis (1991).
I assume that the internal call .whittle in this code due to Diethelm
Wuertz can be used, but I am unsure how:
http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/*checkout*/pkg/fArma/R/whittle.R?rev=2307&root=rmetrics
Thanks
@article{whittle1953estimation,
title={{Estimation and information in stationary time series}},
author={Whittle, P.},
journal={Arkiv f{\\"o}r Matematik},
volume={2},
number={5},
pages={423--434},
year={1953},
publisher={Springer}
}
@book{brockwell1991time,
title={{Time series: theory and methods}},
author={Brockwell, P.J. and Davis, R.A.},
year={1991},
publisher={Springer}
}
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