Description Usage Arguments Details Value Note Author(s) References See Also Examples
For ARp subset models, the least squares estimates are computed. The exact loglikelihood is then determined. The estimated parameters are checked to see if they are in the AR admissible region.
1 | GetFitARpLS(z, pvec)
|
z |
vector or ts object, the time series |
pvec |
lags included in subset AR. If pvec = 0, white noise assumed. |
The R function lsfit
is used.
a list with components:
loglikeliihood |
the exact loglikelihood |
phiHat |
estimated AR parameters |
constantTerm |
constant term in the linear regression |
pvec |
lags of estimated AR coefficient |
res |
the least squares regression residuals |
InvertibleQ |
True, if the estimated parameters are in the AR admissible region. |
yX |
the y vector and X matrix used for the regression fitting |
This is a helper function for FitARp
which is invoked by the main package function FitAR
.
Normally the user would FitAR
since this
function provides generic print, summary, resid and plot methods but
GetFitARpLS is sometimes useful in iterative computations like
bootstrapping since it is faster.
A.I. McLeod
McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.
McLeod, A.I. and Zhang, Y. (2008a). Faster ARMA Maximum Likelihood Estimation, Computational Statistics and Data Analysis 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020.
McLeod, A.I. and Zhang, Y. (2008b, Submitted). Improved Subset Autoregression: With R Package. Journal of Statistical Software.
FitAR
,
FitARz
,
GetFitARz
,
FitARp
,
GetFitARpMLE
,
RacfPlot
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