DL.1step: Performs the Durbin-Levinson algorithm for one-step-ahead...
In gregorkb/tscourse: Contains several functions for time series analysis.
DL.1step R Documentation
Performs the Durbin-Levinson algorithm for one-step-ahead prediction.
Description
Performs the Durbin-Levinson algorithm for one-step-ahead prediction.
Usage
DL.1step(X, gamma.0, gamma.n)
Arguments
X
a vector containing time series data.
gamma.0
the value of the autocovariance function at lag zero
gamma.n
a vector containing the values of the autocovariance function at lags 1 through length(X)
Value
a list containing the one-step-ahead predictions,the values of the partial autocorrelation function at lags 1 through length(X), the MSPEs of the predictions, and the matrix Phi.
This function performs the Durbin-Levinson algorithm for one-step-ahead prediction. Data are centered before the prediction are computed and then mean is added back to the predictions.
gregorkb/tscourse documentation built on Oct. 3, 2022, 5:31 p.m.
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| DL.1step | R Documentation |
Performs the Durbin-Levinson algorithm for one-step-ahead prediction.
Description
Performs the Durbin-Levinson algorithm for one-step-ahead prediction.
Usage
DL.1step(X, gamma.0, gamma.n)
Arguments
X |
a vector containing time series data. |
gamma.0 |
the value of the autocovariance function at lag zero |
gamma.n |
a vector containing the values of the autocovariance function at lags |
Value
a list containing the one-step-ahead predictions,the values of the partial autocorrelation function at lags 1 through length(X), the MSPEs of the predictions, and the matrix Phi.
This function performs the Durbin-Levinson algorithm for one-step-ahead prediction. Data are centered before the prediction are computed and then mean is added back to the predictions.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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