View source: R/innovationVariance.R
innovationVariance | R Documentation |
The innovation variance is estimated using a high order AR approximation determined by the AIC or by using Kolmogoroff's formula with a smoothed periodogram. Default is AR.
innovationVariance(z, method = c("AR", "Kolmogoroff"), ...)
z |
time series |
method |
Default "AR". Set to "Kolmogoroff" for non-parametric periodogram estimate. |
... |
optional arguments that are passed to spec.pgram() |
the innovation variance
A. I. McLeod
exactLoglikelihood
,
PredictionVariance
,
z<-sunspot.year
#fitting high-order AR
innovationVariance(z)
#using periodogram
innovationVariance(z, method="Kolmogoroff")
#using smoothed periodogram
innovationVariance(z, method="Kolmogoroff", span=c(3, 3))
#the plot argument for spec.pgram() works too
innovationVariance(z, method="Kolmogoroff", span=c(3, 3), plot=TRUE)
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