partialAR: Partial Autoregression

A time series is said to be partially autoregressive if it can be represented as a sum of a random walk and an autoregressive sequence without unit roots. This package fits partially autoregressive time series, where the autoregressive component is AR(1). This may be of use in modeling certain financial time series.

Install the latest version of this package by entering the following in R:
install.packages("partialAR")
AuthorMatthew Clegg [aut, cre, cph]
Date of publication2017-04-18 05:29:11 UTC
MaintainerMatthew Clegg <matthewcleggphd@gmail.com>
LicenseGPL-2 | GPL-3
Version1.0.10

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