var_estimator: Variance Estimator

In palatej/rjdfilters: Trend-Cycle Extraction with Linear Filters

Variance Estimator

Description

Variance Estimator

Usage

var_estimator(x, coef, ...)

Arguments

x	input time series.
coef	vector of coefficients or a moving-average (moving_average()).
...	other arguments passed to the function moving_average() to convert coef to a "moving_average" object.

Details

\hat\sigma^2=\frac{1}{n-2h}\sum_{t=h+1}^{n-h}\frac{(y_t-\hat \mu_t)^2}{1-2w_0^2+\sum w_i^2}

palatej/rjdfilters documentation built on May 8, 2023, 6:28 a.m.