slm-class: slm class

In slm: Stationary Linear Models

Description

An S4 class to create an slm object.

Slots

method_cov_st

the method used to compute the autocovariance vector 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.

cov_st

a numeric vector with the estimated autocovariances of the error process, computed from the method_cov_st method.

Cov_ST

the estimated covariance matrix of the error process, computed from the method_cov_st method.

model_selec

integer. The order of the chosen method. If model_selec = -1, the method works automatically.

norm_matrix

the normalization matrix of the design X.

design_qr

the matrix (X^{t} X)^{-1}.

References

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.

slm documentation built on Aug. 31, 2020, 5:11 p.m.