yw: Estimate AR coefficients using the Yule-Walker method

In itsmr: Time Series Analysis Using the Innovations Algorithm

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.