randomArCoefficients | R Documentation |
Translations of functions from my Mathematica sources. Not used currently?
randomArCoefficients(ts, wv, pk, pmax, partempl, sub_size = 10,
condthr = 10, nattempt = 10, startfrom = pmax + 1)
randomMarParametersKernel(ts, ww, pk, pmax, partempl, ...)
randomMarResiduals(ts, p, partempl)
tsDesignMatrixExtended(ts, p, ind, partempl)
ts |
time series. |
wv , ww |
a vector of weights (?). |
pk |
the AR order of the requested component. |
pmax |
the maximal AR order in the model. Needed since it cannot be determined by functions working on a single component. |
partempl |
parameter template, a list containing one element for each mixture component, see Details. |
sub_size |
the size of the subsample to use, default is 10. |
condthr |
threshold for the condition number. |
nattempt |
if |
startfrom |
the starting index (in |
... |
arguments to pass on to |
p |
a vector of non-negative integers, the MixAR order. |
ind |
a vector of positive integers specifying the indices of the observations to use for the “response” variable. |
randomArCoefficients
tries small subsamples (not necessarilly
contiguous) from the observations in search of a cluster hopefully
belonging to one mixture component and estimates the corresponding
shift and AR parameters.
randomMarResiduals
selects random parameters for each mixture
component and returns the corresponding residuals.
randomMarParametersKernel
is a helper function which does the
computation for one component.
tsDesignMatrixExtended
forms the extended design matrix
corresponding to a subsample. This is used for least square estimation
of the parameters.
Georgi N. Boshnakov
tomarparambyComp
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