marfit | R Documentation |
Fit a multivariate AR model by the Yule-Walker method.
marfit(y, lag = NULL)
y |
a multivariate time series. |
lag |
highest order of fitted AR models. Default is |
An object of class "maryule"
, which is a list with the following
components:
maice.order |
order of minimum AIC. |
aic |
AIC's of the AR models with order |
v |
innovation covariance matrix of the AIC best model. |
arcoef |
AR coefficients of the AIC best model. |
Kitagawa, G. (2020) Introduction to Time Series Modeling with Applications in R. Chapman & Hall/CRC.
# Yaw rate, rolling, pitching and rudder angle of a ship
data(HAKUSAN)
yy <- as.matrix(HAKUSAN[, c(1,2,4)]) # Yaw rate, Pitching, Rudder angle
nc <- dim(yy)[1]
n <- seq(1, nc, by = 2)
y <- yy[n, ]
marfit(y, 20)
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