Added Durbin-Levinson sampling scheme for randomly sampling ARMA
coefficients. The algorithm is implement in the internal function
.DLsample, which calls the C function
ARIMA_transPars. The new sampling scheme can be used
externally with the function sample_ARMA_coef by setting
method = "DL", or internally as part of the multi-start
algorithm by setting init_method = "DL" in the
arima function.
arima2 3.3.0
Updated root sampling scheme. Previously, if \(n\) roots were sampled, floor(\(n/2\)) roots were sampled as conjugate
pairs, and if \(n\) is even the
remaining root was sampled as a real number. This scheme did not allow
the ability to sample any real roots (other than the final odd root),
leading to the inability of sampling positive evenly numbered AR
components. The updated root sampling scheme is the same, but allows for
this possibility by randomly choosing some paired roots to be real
rather than complex. The rate at which real roots are sampled is
selected so that, roughly, the marginal probability that any AR/MA
coefficient is positive is \(0.5\).
arima2 3.2.1
Fixed minor bug in arima.R function that occured when
include.mean = TRUE and some parameters are already
fixed.
arima2 3.2.0
Fixed minor spelling errors in documentation.
Refactored sample_ARMA_coef.R. The new function is
faster than the original, includes the capability to manually set the
minimum acceptable distance between inverted roots, and is easier to
read.
Package tests have been updated with the new version of the
sample_ARMA_coef.R function.
arima2 3.1.0
Fixed bug with plotting models with only MA or only AR
coefficients.
arima2 3.0.5
Added max_inv_root and min_inv_root_dist
arguments to arima:
max_inv_root controls the maximum size of the inverted
AR / MA polynomial roots. Defaults to 1.
min_inv_root_dist controls the minimum allowed distance
between AR and MA polynomial roots, in order to avoid nearly canceling
roots. Defaults to 0.
arima2 3.0.4
Added a check to ensure a random restart is considered an
improvement only if it returns a model that has a proper variance matrix
for estimated coefficients.
arima2 3.0.3
Added aicc option to aicTable, and removed
superfluous arguments.
arima2 3.0.2
Added ... argument to aicTable
function.
arima2 3.0.1
Added arXiv paper to package description
Added parenthesis to function names in package description.
arima2 3.0.0
Added a NEWS.md file to track changes to the
package.