Description Usage Arguments Value References Examples
This function gives the estimation of the autocovariances of the error process, with the method chosen by the user. Five methods are available: "fitAR", "spectralproj", "efromovich", "kernel" and "select".
1 2 3 |
epsilon |
numeric vector. An univariate process. |
method_cov_st |
the method chosen by the user to estimate the autocovariances of the error process. The user has the choice between the methods "fitAR", "spectralproj", "efromovich", "kernel", "select" or "hac". By default, the "fitAR" method is used. |
model_selec |
integer or |
model_max |
integer. Maximal dimension of the method. |
kernel_fonc |
function. Use this argument if |
block_size |
integer. Size of the bootstrap blocks if |
block_n |
integer. Blocks number to use for the bootstrap if |
plot |
logical. By default, |
The function returns the autocovariances computed with the chosen method.
E. Caron, J. Dedecker and B. Michel (2019). Linear regression with stationary errors: the R package slm. arXiv preprint arXiv:1906.06583. https://arxiv.org/abs/1906.06583.
1 2 | x = arima.sim(list(ar=c(0.4,0.2)),1000)
cov_method(x, method_cov_st = "fitAR", model_selec = -1)
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