rcAR | R Documentation |
Estimate random-coefficient AR models.
rcAR(x, lags = c(1), include.mean = TRUE)
x |
a time series of data. |
lags |
the lag of AR models. This is more flexible than using order. It can skip unnecessary lags. |
include.mean |
a logical value indicating whether the constant terms are included. |
rcAR
function returns a list with following components:
par |
estimated parameters. |
se.est |
standard errors. |
residuals |
residuals. |
sresiduals |
standardized residuals. |
t=50
x=rnorm(t)
phi1=matrix(0.4,t,1)
for (i in 2:t){
phi1[i]=0.7*phi1[i-1]+rnorm(1,0,0.1)
x[i]=phi1[i]*x[i-1]+rnorm(1)
}
est=rcAR(x,1,FALSE)
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