tsDyn (version 0.5-7)

LINEAR: Linear AutoRegressive models

Description

AR(m) model

Usage

linear(x, m, d=1, steps=d, series)

Arguments

x

time series

m, d, steps

embedding dimension, time delay, forecasting steps

series

time series name (optional)

Value

• A nlar object, linear subclass.

Details

AR(m) model: $$x_{t+s} = \phi_0 + \phi_1 x_t + \phi_2 x_{t-d} + \dots + \phi_m x_{t - (m-1)d} + \epsilon_{t+s}$$

See Also

nlar for fitting this and other models to time series data

Examples

#fit an AR(2) model
mod.linear <- linear(log(lynx), m=2)
mod.linear
summary(mod.linear)