Estimate AR coefficients using the Burg method

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Description

Estimate AR coefficients using the Burg method

Usage

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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

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

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