yw: Estimate AR coefficients using the Yule-Walker method

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ywR Documentation

Estimate AR coefficients using the Yule-Walker method

Description

Estimate AR coefficients using the Yule-Walker method

Usage

yw(x, p)

Arguments

x

Time series data (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 burg hannan ia

Examples

M = c("diff",1)
e = Resid(dowj,M)
a = yw(e,1)

itsmr documentation built on Aug. 6, 2022, 9:08 a.m.