pc.hat.h | R Documentation |
The h coefficients are scaled cross-covariances between the time series and the innovations. This function computes estimates for h using as input the observed series, a series of estimated innovations, and an estimate of the variance of the innovations.
pc.hat.h(x, eps, maxlag, si2hat)
x |
the observed time series x(t) |
eps |
a series of esimated innovations |
maxlag |
maximum lag |
si2hat |
estimate of the variance of the innovations |
If missing, the variance of the innovations is estimated from eps
.
A matrix of the coefficient up to lag maxlag with one row for each season.
Georgi N. Boshnakov
boshnakov1996pcarmapcts
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