Description Usage Arguments Details Value References Examples
Allows the user to select the lags of the autocovariance terms of the process to be kept.
1 | cov_select(epsilon, model_selec, plot = FALSE)
|
epsilon |
numeric vector. An univariate process. |
model_selec |
a vector with the positive lags of the selected autocovariance terms. The variance (lag = 0) is automatically selected. |
plot |
logical. By default, |
In the framework of slm
, this is a manual method for estimating the covariance matrix of the error process
by only selecting some autocovariance terms from the residual autocovariances.
This function returns the estimated autocovariance terms.
model_selec |
the vector with the positive lag of the selected autocovariance terms. |
cov_st |
the vector of the selected autocovariances. |
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.
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