Merge pull request #12 from palatej/develop

v3.1.0

NAMESPACE

@@ -220,6 +220,7 @@ export(sa_preprocessing)
 export(sadecomposition)
 export(sarima_decompose)
 export(sarima_estimate)
+export(sarima_hannan_rissanen)
 export(sarima_model)
 export(sarima_properties)
 export(sarima_random)

R/arima.R

@@ -351,3 +351,32 @@ sarima_estimate<-function(x, order=c(0,0,0), seasonal = list(order=c(0,0,0), per
   class(res) <- c("JD3_SARIMA_ESTIMATE", "JD3_REGARIMA_RSLTS")
   return (res)
 }
+
+#' Title
+#'
+#' @param x a univariate time series.
+#' @param order vector specifying of the non-seasonal part of the ARIMA model: the AR order, the degree of differencing, and the MA order.
+#' @param seasonal specification of the seasonal part of the ARIMA model and the seasonal frequency (by default equals to `frequency(x)`).
+#' Either  a list with components `order` and `period` or a numeric vector specifying the seasonal order (the default period is then used).
+#' @param initialization Algorithm used in the computation of the long order auto-regressive model (used to estimate the innovations)
+#' @param biasCorrection Bias correction
+#' @param finalCorrection Final correction as implemented in Tramo
+#'
+#' @return
+#' @export
+#'
+#' @examples
+#' y <- ABS$X0.2.09.10.M
+#' sarima_hannan_rissanen(y, order = c(0,1,1), seasonal = c(0,1,1))
+sarima_hannan_rissanen<-function(x, order=c(0,0,0), seasonal = list(order=c(0,0,0), period=NA), initialization=c("Ols", "Levinson", "Burg"), biasCorrection=TRUE, finalCorrection=TRUE){
+  if (!is.list(seasonal) && is.numeric(seasonal) && length(seasonal) == 3) {
+    initialization=match.arg(initialization)
+    seasonal <- list(order = seasonal,
+                     period = NA)
+  }
+  if (is.na(seasonal$period))
+    seasonal$period <- frequency(x)
+  jmodel<-.jcall("jdplus/toolkit/base/r/arima/SarimaModels", "Ljdplus/toolkit/base/core/sarima/SarimaModel;", "hannanRissanen",
+                 as.numeric(x), as.integer(order), as.integer(seasonal$period), as.integer(seasonal$order), as.character(initialization), as.logical(biasCorrection), as.logical(finalCorrection))
+  return (.jd2r_sarima(jmodel))
+}