AR1Est: Exact MLE Mean-Zero AR(1)
In FitAR: Subset AR Model Fitting

Description Usage Arguments Details Value Author(s) References See Also Examples

This function is used by GetFitAR in the AR(1) case. It is a fast exact solution using the root of a cubic equation.

1	AR1Est(z, MeanValue = 0)

`z`	time series or vector
`MeanValue`	known mean

The exact MLE for mean-zero AR(1) satisfies a cubic equation. The solution of this equation for the MLE given by Zhang (2002) is used. This approach is more reliable as well as faster than the usual approach to the exact MLE using a numerical optimization technique which can occasionally have convergence problems.

MLE for the parameter

A.I. McLeod and Y. Zhang

Zhang, Y. (2002). Topics in Autoregression, Ph.D. Thesis, University of Western Ontario.

GetFitARz