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| -rw-r--r-- | R/estpoly.R | 11 |
1 files changed, 8 insertions, 3 deletions
diff --git a/R/estpoly.R b/R/estpoly.R index 686c147..72ed6a8 100644 --- a/R/estpoly.R +++ b/R/estpoly.R @@ -260,10 +260,15 @@ armax <- function(x,order=c(0,1,1,0),options=optimOptions()){ yout <- apply(y,2,padZeros,n=n) uout <- apply(u,2,padZeros,n=n) - theta0 <- matrix(runif(na+nb+nc,min=-0.3,max=0.3)) # current parameters + # Initial Parameter Estimates + mod_arx <- arx(x,c(na,nb,nk)) # fitting ARX model + eps_init <- matrix(resid(mod_arx)) + mod_ar <- ar(eps_init,aic=F,order=nc) + e_init <- matrix(mod_ar$resid); e_init[is.na(e_init)] <- 0 + theta0 <- matrix(c(mod_arx$sys$A[-1],mod_arx$sys$B,-mod_ar$ar)) - l <- levbmqdt(yout,uout,order,obj=armaxGrad,theta0=theta0,N=N, - opt=options) + l <- levbmqdt(yout,uout,order,e_init,obj=armaxGrad, + theta0=theta0,N=N,opt=options) theta <- l$params e <- ts(l$residuals,start = start(y),deltat = deltat(y)) |