bestParameters: bestParameters

In vrunge/ARRWestim: Estimation of the parameters for the ARRW (Autoregressive AR(1) and Random Walk) model for time-series

Description

iteration of the least square criterion for a grid of the phi parameter

Usage

bestParameters(y, nbK = 10, type = "MAD", sdEta = TRUE)

Arguments

y	A time-series obtained by the dataRWAR function
nbK	number of diff k elements to consider
type	type of robust variance estimator (MAD, S or Q)
sdEta	if sdEta = FALSE there is no random walk

Value

a list with an estimation of the best parameters for Eta2, Nu2 and phi

Examples

bestParameters(dataRWAR(10000, sdEta = 0.2, sdNu = 0.1, phi = 0.3,
type = "rand1", nbSeg = 10, seed = sample(10000,1))$y)

vrunge/ARRWestim documentation built on Feb. 20, 2021, 9:35 a.m.