GetFitPLA: Fit PLA Time Series Model

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

Exact maximum likelihood estimation of the decay parameter a in PLA model. In this model a=alpha.

Usage

GetFitPLA(z, MeanZeroQ = FALSE, algorithm=c("emle", "wmle"), ciQ=FALSE)

Arguments

z	time series data vector
MeanZeroQ	optional argument, default is MeanZeroQ=FALSE. Set to TRUE if the mean is known to be zero
algorithm	"emle" for exact MLE or "wmle" for Whittle method
ciQ	TRUE or FALSE according as 95 percent confidence interval computed and plotted

Value

a list with four/five elements:

p	MLE for a
Loglikelihood	value of the maximized loglikelihood
alpha	MLE for a
ci	95 percent confidence interval for a
algorithm	either "emle" or "wmle"

Author(s)

A. I. McLeod and Justin Veenstra

See Also

GetFitFD

Examples

#Example 1
#fit Gaussian White Noise, alpha=1
z<-rnorm(500, 100, 10)
GetFitPLA(z)

#Example 2
#estimate alpha for NileMin series
data(NileMin)
GetFitPLA(NileMin)

FGN documentation built on May 30, 2017, 7:19 a.m.