AutoregressionMDE (version 1.0)

ARMDE: Performs minimum distance estimation in autoregressive model

Description

Performs minimum distance estimation in autoregressive model

Usage

ARMDE(X, AR_Order)

Arguments

X

: vector of n observed value

AR_Order

: oder of the autoregressive model

Value

returns minimum distance estimators of the parameter in the autoregressive model

References

[1] Koul, H. L (1985). Minimum distance estimation in linear regression with unknown error distributions. Statist. Probab. Lett., 3 1-8.

[2] Koul, H. L (1986). Minimum distance estimation and goodness-of-fit tests in first-order autoregression. Ann. Statist., 14 1194-1213.

[3] Koul, H. L (2002). Weighted empirical process in nonlinear dynamic models. Springer, Berlin, Vol. 166

See Also

LRMDE

Examples

X <- rnorm(10, mean=0, sd=1)
AR_Order <- 2
rhohat<-ARMDE(X,AR_Order)