whitening: Whitening
In micss: Modified Iterative Cumulative Sum of Squares Algorithm
whitening R Documentation
Whitening
Description
Eliminates the autocorrelation of a variable using an AR model.
Usage
whitening(y, kmax = NULL)
Arguments
y
A numeric vector. Variable to be whiten.
kmax
Maximum lag to be used for the long-run estimation of the variance.
If not specified uses [12*(t/100)^(1/4)].
Details
Selects the model using the Bayes Information Criterium.
Value
-
e: Whiten variable.
-
rho: Vector of autoregressive parameters.
-
lag: number of lags used.
Examples
whitening(rnorm(100))
micss documentation built on Sept. 11, 2024, 6:46 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| whitening | R Documentation |
Whitening
Description
Eliminates the autocorrelation of a variable using an AR model.
Usage
whitening(y, kmax = NULL)
Arguments
y |
A numeric vector. Variable to be whiten. |
kmax |
Maximum lag to be used for the long-run estimation of the variance. If not specified uses [12*(t/100)^(1/4)]. |
Details
Selects the model using the Bayes Information Criterium.
Value
-
e: Whiten variable. -
rho: Vector of autoregressive parameters. -
lag: number of lags used.
Examples
whitening(rnorm(100))
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.