slm-class: slm class

In E-Caron/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.

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

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.

E-Caron/slm documentation built on Jan. 9, 2020, 1:30 p.m.