GetARMeanMLE: Exact MLE for Mean in AR(p)
In FitAR: Subset AR Model Fitting

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

Details of this algorithm are given in McLeod and Zhang (2007).

1	GetARMeanMLE(z, phi)

`z`	vector of length n containing the time series
`phi`	vector of AR coefficients

Estimate of mean

A.I. McLeod and Y. Zhang

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

mean

#Simulate a time series with mean zero and compute the exact
#mle for mean and compare with sample average.
## Not run:  #save time building package!
 set.seed(3323)
 phi<-c(2.7607,-3.8106,2.6535,-0.9238)
 z<-SimulateGaussianAR(phi,1000)
 ans1<-mean(z)
 ans2<-GetARMeanMLE(z,phi)
# define a direct MLE function
"DirectGetMeanMLE" <-
function(z, phi){
    GInv<-solve(toeplitz(TacvfAR(phi, length(z)-1)))
    g1<-colSums(GInv)
    sum(g1*z)/sum(g1)
}
ans3<-DirectGetMeanMLE(z,phi)
ans<-c(ans1,ans2,ans3)
names(ans)<-c("mean", "GetARMeanMLE","DirectGetMeanMLE")
ans

## End(Not run)