AR1: Definition of an Autoregressive Process of Order 1

In SMAC-Group/simts: Time Series Analysis Tools

Definition of an Autoregressive Process of Order 1

Description

Definition of an Autoregressive Process of Order 1

Usage

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 = \phi X_{t-1} + \varepsilon_t

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

Author(s)

James Balamuta

Examples

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

SMAC-Group/simts documentation built on Sept. 4, 2023, 5:25 a.m.