I am trying some Arma fitting and prediction routines from fArma.
 
I am finding that the arma generation and fitting functions in this package do not match up.
ie When I generate an arma 2,2 model with armaSim() the armaFit() routine gives a very different model fit. Can anyone shed any light on this?
The exact code used is:
 
mylist <- list(ar=c(0.9, -0.2), ma=c(-.7, 0.1))
 x = armaSim(model = mylist , n = 200)
 
for generating the series, 
and
   rtn <- armaFit(x ~ arma(2, 2), X, method = c("mle", "ols"), include.mean = TRUE,
          fixed = NULL, title = NULL, description = NULL )
 
gives the fit:
Coefficient(s):
      ar1          ar2           ma1           ma2     intercept  
  0.76899   -0.29759   -0.08186   -0.49967   -0.18069 
 
Also, and more importantly, the usual MA(q) models have a specification something like:
 
theta(0) + theta(1)* chi(1) + theta(2) * chi(2)
 
and in the fArma documentation the term theta(0) is completely omitted. Usually this would be unity. But i can find no mention of this term in the fArma documentation.
 
What has happened to the theta(0) term in the fArma model?
 
Regards
 
Jefe
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