get_yw_estimates

Get Yule-Walker estimates for AR(p)

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_yw_estimates function

<dl><dt>x</dt>
<dd>Numeric vector</dd>
<dt>p</dt>
<dd>Integer value of AR order</dd></dl>

Arguments

Get Yule-Walker estimates for AR(p) — get_yw_estimates

<dl>

<dt>x</dt>
<dd>Numeric vector</dd>


<dt>p</dt>
<dd>Integer value of AR order</dd>

</dl>

get_yw_estimates: Get Yule-Walker estimates for AR(p)

Description

Usage

Value

Arguments