arma_s_resid: arma_s_resid

In Mufabo/Rrobustsp: Robust Signal Processing

arma_s_resid

Description

Computes the residuals of S-estimates for an ARMA process

Usage

arma_s_resid(x, beta_hat, p, q)

Arguments

x:	numeric vector. The signal
beta_hat:	numeric vector, the AR and MA coefficients
p:	AR order
q:	MA order

Value

a_sc: m-scale based on residuals.

Note

File is in dependentData_Auxiliary_armaResid.R

Examples

library(signal)
library(zeallot)
library(pracma)

N <- 500
a <- rnorm(N)
p <- 1
q <- 0
x <- signal::filter(1, c(1, -0.8), a)

beta_s <- arma_est_bip_s(x, p, q, tolX = 1e-8)
beta <- c(beta_s$ar_coeffs, beta_s$ma_coeffs)

arma_s_resid(x, beta, p, q)

Mufabo/Rrobustsp documentation built on June 11, 2022, 10:41 p.m.