ArfimaOxInterface           package:fArma           R Documentation

_R _I_n_t_e_r_f_a_c_e _f_o_r _G_a_r_c_h _A_r_f_i_m_a

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions to  fit the parameters
     of an univariate time  series to ARFIMA models interfacing the
     ARFIMA Ox Package.  

     The ARFIMA time series models include the following  functiona:

       1  arfimaOxFit  Fits parameters of ARFIMA models,
       2  print        Print method for ARFIMA models,
       3  plot         Plot method for ARFIMA models,
       4  summary      Summary method for ARFIMA models,
       5  fitted       Method to extract the fitted values,
       6  residuals    Method to extract the resaidual values,
       7  predict      Method to predict from an ARFIMA model,
       8  predictPlot  Method to plot ARFIMA predictions.

_U_s_a_g_e:

     arfimaOxFit(formula, data, method = c("mle", "nls", "mpl"),
         trace = TRUE, title = NULL, description = NULL)

_A_r_g_u_m_e_n_t_s:

    data: an optional timeSeries or data frame object containing the
          variables  in the model. If not found in 'data', the
          variables are taken  from 'environment(formula)', typically
          the environment from which 'armaFit' is called. If 'data' is
          an univariate series, then the series is converted into a
          numeric vector and the name of the response in the formula
          will be neglected. 

description: a character string which allows for a brief description. 

 formula: a formula object which specifies the ARFIMA process.  

  method: a  character string denoting the method used for parameter
          estimation. 

   title: a character string which allows for a project title. 

   trace: a logical flag. Should the estimation process be ttraced?  By
          default TRUE. 

_D_e_t_a_i_l_s:

     *Ox Interface:* 
       The function 'garchOxFit' interfaces a subset of the 
     functionality of the ARFIMA 1.01 Package written in Ox.  ARFIMA is
     one of the most sophisticated packages for modelling  univariate
     ARFIMA processes. 

     *About Ox:* 
      Ox (tm) is an object-oriented matrix language with a
     comprehensive  mathematical and statistical function library. Many
     packages were  written for Ox including software mainly for
     econometric modelling.  The Ox packages for time series analysis
     and forecasting, Arfima, Doornik and Ooms [2003], Garch, Laurent
     and Peters [2005], and State  Space Modelling, Koopman, Shepard
     and Doornik [1998], are especially worth  to note. Since most of
     the R-users wan't to change to another Statistical  Computing
     environment, we made selected parts of the ARFIMA Ox software 
     available for them through an R-Interface. What you have to do, is
      to read carefully the "Ox citation and copyright" rules and if
     you agree and fullfill the conditions, then download the OxConsole
     Software  together with the "Arfima" Package, currently
     implemented Arfima 1.01.  If you are not qualified for a free
     license, order your copy from  Timberlake Consultants. We
     recommend to install the "Setup.exe"  for "Ox3" under the path
     "C:\Ox\Ox3" and to unzip the "Arfima" Package  in the directory
     "C:\Ox\Ox3\Packages".  

     *Distribution:* 
      Ox and Arfima are distributed by Timberlake Consultants Ltd.
     Timberlake  Consultants can be contacted through the following web
     site:  _www.timberlake.co.uk_. 

     *Installation of the Interface:* 
      In addition you have to copy the files "ArfimaOxFit.ox" and
     "ArfimaOxPredict.ox" (which is the interface written especially 
     for Rmetrics) from the "fSeries/data/" directory to the Ox library
      directory "C:\Ox\Ox3\lib". 

     *Ox Citation and Copyright Rules:* 
      Ox and all its components are copyright of Jurgen A. Doornik. The
      Console (command line) versions may be used freely for academic 
     research and teaching purposes only. Commercial users and others 
     who do not qualify for the free version must purchase the Windows 
     version of Ox and GiveWin with documentation, regardless of which 
     version they use (so even when only using Ox on Linux or Unix). 
     Ox should be cited whenever it is used. Refer to the two
     references  given below. Note, failure to cite the use of Ox in
     published work  may result in loss of the right to use the free
     version, and an  invoice at the full commercial price. Ox is
     available from Timberlake  Consultants. The Ox syntax is public,
     and you may do with your own  Ox code whatever you wish, including
     the files "ArfimaOx*.ox". 

     *Work to do:* 
      Note, only a small part of the functionalities are interfaced
     until now to Rmetrics. But, principally it would be possible to
     interface  also other functionalities offered by the Ox Arfima
     Package. This  work is left to the Rmetrics/Ox user.

_V_a_l_u_e:

     'arfimaOxFit'  
      returns an S4 object of class '"fARMA"', with the following 
     slots:

    call: the matched function call. 

    data: the input data in form of a data.frame. 

description: allows for a brief project description. 

     fit: the results as a list returned from the underlying time
          series model function.  

  method: a character string naming the selected ARFIMA model. 
          Implemented are  the exact max-likelihood estimation method,
          '"mle"', the non-linear least-square method, '"nls"', and the
          '"mplik"' 

 formula: the formula expression describing the model. 

parameters: named parameters or coefficients of the fitted model. 

   title: a title string. 


     For further details please consult 'help(ArmaModelling)'.

_N_o_t_e:

     The R functions were tested only under MS Windows XP. Please
     report your experience with other operating systems to
     _info@metrics.org_. The functions should also run under the newer
     version "Ox4".

_A_u_t_h_o_r(_s):

     Jurgen A. Doornik for the Ox Environment, _www.doornik.com_, 
       Jurgen A. Doornik and Marius Ooms for the Arfima Ox package,
     _www.doornik.com_, 
       Diethelm Wuertz for R's Ox Arfima interface.

_R_e_f_e_r_e_n_c_e_s:

     Doornik J.A. (2002),  Object-Oriented Matrix Programming Using Ox,
      London, 3rd ed.: Timberlake Consultants Press and Oxford: 
     _www.doornik.com_. 

     Doornik J.A., Ooms M. (2001),    A Package for Estimating,
     Forecasting and Simulating Arfima Models, Arfima Package 1.01 for
     Ox, pp. 32.

     Doornik J.A., Ooms M. (2003), Computational Aspects of Maximum
     Likelihood Estimation of  Autoregressive Fractionally Integrated
     Moving Average Models, Computational Statistics and Data Analysis
     42, 333-348.

     Koopman J.S., Shepard N., Doornik J.A. (1999), Statistical
     Algorithms for Models in State Space using SsfPack 2.2,
     Econometrics Journal 2, 113-166.

     Laurent S., Peters J.P., [2005],  G@RCH 4.0, Estimating and
     Forecasting ARCH Models,  Timberlake Consultants,
     www.timberlake.co.uk

_S_e_e _A_l_s_o:

     'ArmaModelling'.

_E_x_a_m_p_l_e_s:

     ## Not run: 
     ## arfimaOxFit -
        x = armaSim(model = list(ar = c(0.5, - 0.5), d = 0.3, ma = 0.1), n = 500)
        fit = arfimaOxFit(formula = x ~ arfima(2,1))
         
        print(fit)
        plot(fit, which = "all:)
        summary(fit, doplot = FALSE)
         
        fitted(fit)[1:10]
        residuals(fit)[1:10]
         
        predict(object)
     ## End(Not run)

