get_ar_fitted

internal

Implements the Polynomial Maximization Method ('PMM') for parameter estimation
in linear and time series models when error distributions deviate from normality.
The 'PMM2' variant achieves lower variance parameter estimates compared to ordinary
least squares ('OLS') when errors exhibit significant skewness. Includes methods
for linear regression, 'AR'/'MA'/'ARMA'/'ARIMA' models, and bootstrap inference.
Methodology described in Zabolotnii, Warsza, and Tkachenko (2018) <doi:10.1007/978-3-319-77179-3_75>,
Zabolotnii, Tkachenko, and Warsza (2022) <doi:10.1007/978-3-031-03502-9_37>, and
Zabolotnii, Tkachenko, and Warsza (2023) <doi:10.1007/978-3-031-25844-2_21>.

Serhii Zabolotnii

EstemPMM

Polynomial Maximization Method for Non-Gaussian Regression

get_ar_fitted function

<dl><dt>object</dt>
<dd>TS2fit object with model_type="ar"</dd></dl>

Arguments

Get fitted values for AR model — get_ar_fitted

<dl>

<dt>object</dt>
<dd>TS2fit object with model_type="ar"</dd>

</dl>

get_ar_fitted: Get fitted values for AR model

Description

Usage

Value

Arguments