AR1: Definition of an Autoregressive Process of Order 1

Description Usage Arguments Value Note Author(s) Examples

View source: R/ts.model.R

Description

Definition of an Autoregressive Process of Order 1

Usage

1
AR1(phi = NULL, sigma2 = 1)

Arguments

phi

A double value for the parameter phi (see Note for details).

sigma2

A double value for the variance parameter sigma^2 (see Note for details).

Value

An S3 object containing the specified ts.model with the following structure:

process.desc

Used in summary: "AR1","SIGMA2"

theta

Parameter vector including phi, sigma^2

plength

Number of parameters

print

String containing simplified model

desc

"AR1"

obj.desc

Depth of Parameters e.g. list(1,1)

starting

Find starting values? TRUE or FALSE (e.g. specified value)

Note

We consider the following AR(1) model:

X_t = φ X_{t-1} + \varepsilon_t

, where \varepsilon_t is iid from a zero mean normal distribution with variance σ^2.

Author(s)

James Balamuta

Examples

1
2
AR1()
AR1(phi=.32, sigma2 = 1.3)

SMAC-Group/simts documentation built on Oct. 20, 2018, 8:20 p.m.