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 |
an univariate process. |
method_cov_st |
the method chosen by the user. |
model_selec |
the order of the method. If |
model_max |
maximal dimension of the method. |
kernel_fonc |
to use if |
block_size |
size of the bootstrap blocks if |
block_n |
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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