yw: Estimate AR coefficients using the Yule-Walker method

Description Usage Arguments Details Value See Also Examples

View source: R/itsmr.R

Description

Estimate AR coefficients using the Yule-Walker method

Usage

1
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

1
2
3
M = c("diff",1)
e = Resid(dowj,M)
a = yw(e,1)

Example output



itsmr documentation built on Jan. 22, 2018, 1:04 a.m.