Description Usage Arguments Details Value Author(s) References See Also Examples
Exact MLE estimation for FGN
1 |
z |
time series, vector or ts object. |
demean |
if True, subtract mean. Otherwise assume it is zero. |
MeanMLEQ |
if True, an iterative algorithm is used for exact simultaneous MLE estimation of the mean and other parameters. |
lag.max |
the residual autocorrelations are tabulated for lags 1, ..., lag.max. Also lag.max is used for the Ljung-Box portmanteau test. |
The exact loglikelihood function is maximized numerically using optimize
.
The standard error for the H parameter is estimated (McLeod, Yu and Krougly, 2007).
A list with class name "FitAR" and components:
loglikelihood |
value of the loglikelihood |
H |
estimate of H parameter |
SEH |
SE of H estimate |
sigsqHat |
innovation variance estimate |
muHat |
estimate of the mean |
SEmu |
SE of mean |
Rsq |
R-squared, coefficient of forecastability |
LjungBox |
table of Ljung-Box portmanteau test statistics |
res |
normalized residuals, same length as z |
demean |
TRUE if mean estimated otherwise assumed zero |
IterationCount |
number of iterations in mean mle estimation |
MLEMeanQ |
TRUE if mle for mean algorithm used |
tsp |
tsp(z) |
call |
result from match.call() showing how the function was called |
DataTitle |
returns attr(z,"title") |
A.I. McLeod
McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.
GetFitFGN
,
FitRegressionFGN
,
Boot.FitFGN
,
coef.FitFGN
,
plot.FitFGN
,
print.FitFGN
,
summary.FitFGN
,
HurstK
1 2 3 4 5 |
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