DL: Durbin-Levinson Algorithm

In adrian1econ/TimeSeries: What the Package Does (One Line, Title Case)

Description

Application of the Durbin-Levinson algorithm for forecasting time series.

Usage

DL(ts, p = NULL)

Arguments

ts	a numeric vector containing a time series or an object of class "arma".
p	number of recursions or number of phi's to be determined.

Details

The Durbin-Levinson Algorithm is a recursive algorithm based on the autocorrelation function of the input time series. It computes the same number of AR parameters as is the length of the input series. These estimated AR parameters can be multiplied with the input series to produce a one-step-ahead forecast. For more details see the long documentation in the vignette "Dokumentation".

Value

a numeric vector containing the phi-Coefficients determined by the Durbin-Levinson algorithm.

Examples

DL(arma_sim(phi = c(0.8,-0.3),n = 1000,burnin = 1000))

adrian1econ/TimeSeries documentation built on Aug. 25, 2020, 5:18 p.m.