estimVar: Variance estimation for diff k operators

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

Description

Estimation of the variances for the diff k operator k = 1 to nbK

Usage

estimVar(y, nbK = 10, type = "MAD")

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)

Value

the vector varEst of estimated variances

Examples

estimVar(dataRWAR(1000, sdEta = 0.1, sdNu = 0.1, phi = 0.3, type = "rand1",  nbSeg = 10)$y)

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