rcAR: Estimating of Random-Coefficient AR Models

In ConvFuncTimeSeries/test3:

Description

Estimate random-coefficient AR models.

Usage

rcAR(x, lags = c(1), include.mean = TRUE)

Arguments

x	a time series of data.
lags	the lag of AR models. This is more flexible than using order. It can skip unnecessary lags.
include.mean	a logical value indicating whether the constant terms are included.

Value

rcAR function returns a list with following components:

par	estimated parameters.
se.est	standard errors.
residuals	residuals.
sresiduals	standardized residuals.

Examples

x1=rnorm(100)
x2=arima.sim(n = 63, list(ar = c(0.8897, -0.4858)),sd = sqrt(0.1796))
x=c(x1,x2)
est=rcAR(x,2,TRUE)

ConvFuncTimeSeries/test3 documentation built on May 29, 2019, 11:41 a.m.