Description Usage Arguments Value References See Also Examples
Performs minimum distance estimation in autoregressive model
1 | ARMDE(X, AR_Order)
|
X |
: vector of n observed value |
AR_Order |
: oder of the autoregressive model |
returns minimum distance estimators of the parameter in the autoregressive model
[1] Koul, H. L (1985). Minimum distance estimation in linear regression with unknown error distributions. Statist. Probab. Lett., 3 1-8.
[2] Koul, H. L (1986). Minimum distance estimation and goodness-of-fit tests in first-order autoregression. Ann. Statist., 14 1194-1213.
[3] Koul, H. L (2002). Weighted empirical process in nonlinear dynamic models. Springer, Berlin, Vol. 166
LRMDE
1 2 3 |
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