itsmr (version 1.1)

yw: Estimate AR coefficients using the Yule-Walker method

Description

Estimate AR coefficients using the Yule-Walker method

Usage

yw(x, p)

Arguments

x

Data vector (typically residuals from Resid)

p

AR order

Value

• Returns an ARMA model consisting of a list with the following components.
• phi
  AR coefficients
• theta
  0
• sigma2
  White noise variance
• aicc
  Akaike information criterion corrected
• se.phi
  Standard errors for the AR coefficients
• se.theta
  0

Details

The innovations algorithm is used to estimate white noise variance.

See Also

arma burg hannan ia

Examples

xv = c("diff",1)
e = Resid(dowj,xv)
a = yw(e,1)