burg: Estimate AR coefficients using the Burg method

Description Usage Arguments Details Value See Also Examples

Description

Estimate AR coefficients using the Burg method

Usage

1
burg(x, p)

Arguments

x

Data vector (typically residuals from Resid)

p

AR order

Details

The innovations algorithm is used to estimate white noise variance.

Value

Returns an ARMA model consisting of a list with the following components.

phi

Vector of AR coefficients (index number equals coefficient subscript)

theta

0

sigma2

White noise variance

aicc

Akaike information criterion corrected

se.phi

Standard errors for the AR coefficients

se.theta

0

See Also

arma hannan ia yw

Examples

1
2
3
4
xv = c("diff",1)
e = Resid(dowj,xv)
a = burg(e,1)
print(a)


Search within the itsmr package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.