AutoregressionMDE: Minimum Distance Estimation in Autoregressive Model
Version 1.0

Consider autoregressive model of order p where the distribution function of innovation is unknown, but innovations are independent and symmetrically distributed. The package contains a function named ARMDE which takes X (vector of n observations) and p (order of the model) as input argument and returns minimum distance estimator of the parameters in the model.

Getting started

Package details

AuthorJiwoong Kim [aut, cre]
Date of publication2015-09-14 09:12:45
MaintainerJiwoong Kim <[email protected]>
Package repositoryView on CRAN
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AutoregressionMDE documentation built on May 29, 2017, 9:55 p.m.