# arfit

From TSSS v1.2.3
by Masami Saga

##### Univariate AR Model Fitting

Fit a univariate AR model by Yule-Walker method, Least squares (Householder) method or PARCOR method.

- Keywords
- ts

##### Usage

`arfit(y, lag = NULL, method = 1, plot = TRUE, …)`

##### Arguments

- y
a univariate time series.

- lag
highest order of AR model. Default is \(2 \sqrt{n}\), where \(n\) is the length of the time series

`y`

.- method
estimation procedure.

1 : Yule-Walker method 2 : Least squares (Householder) method 3 : PARCOR method (Partial autoregression) 4 : PARCOR method (PARCOR) - plot
logical. If

`TRUE`

(default), PARCOR, AIC and power spectrum are plotted.- …
further arguments to be passed to

`plot.arfit`

.

##### Value

An object of class `"arfit"`

, which is a list with the following
elements:

innovation variance.

order of minimum AIC.

AIC.

AR coefficients of the best model.

PARCOR.

power spectrum (in log scale).

the name of the univariate time series `y`

.

##### References

Kitagawa, G. (2010)
*Introduction to Time Series Modeling*. Chapman & Hall/CRC.

##### Examples

```
# NOT RUN {
# Sun spot number data
data(Sunspot)
arfit(log10(Sunspot), 20)
# BLSALLFOOD data
data(BLSALLFOOD)
arfit(BLSALLFOOD)
# }
```

*Documentation reproduced from package TSSS, version 1.2.3, License: GPL (>= 2)*

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