AR: Create an Autoregressive P [AR(P)] Process

In schoi355/gmwm: Generalized Method of Wavelet Moments

Create an Autoregressive P [AR(P)] Process

Description

Setups the necessary backend for the AR(P) process.

Usage

AR(phi = NULL, sigma2 = 1)

Arguments

phi	A vector with double values for the phi of an AR(P) process.
sigma2	A double value for the variance, sigma^2, of a WN process.

Value

An S3 object with called ts.model with the following structure:

process.desc

Used in summary: "AR-1","AR-2", ..., "AR-P", "SIGMA2"

theta

phi[[1]], phi[[2]], ..., phi[[p]], sigma^2

plength

Number of Parameters

desc

"AR"

obj.desc

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

starting

Guess Starting values? TRUE or FALSE (e.g. specified value)

Author(s)

JJB

Examples

AR(1) # Slower version of AR1()
AR(phi=.32, sigma=1.3) # Slower version of AR1()
AR(2) # Equivalent to ARMA(2,0).

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.