tswge (version 1.0.0)

est.ar.wge: Estimate parameters of an AR(p) model

Description

Estimate parameters of an AR(p) with p assumed known. Outputs residuals (backcast0 and white noise variance estimate.)

Usage

est.ar.wge(x, p = 2, factor = TRUE, type = "mle")

Value

phi.est

Estimates of the AR parameters

res

Estimated residuals (using backcasting) based on estimated model

vara

Estimated white noise variance (based on backcast residuals)

aic

AIC for estimated model

aicc

AICC for estimated model

bic

BIC for estimated model

Arguments

x

Realization

p

AR order

factor

If TRUE (default) a factor table is printed for the estimated model

type

Either "burg" (default), "yw", or "mle"

Author

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

data(fig6.1nf)
          est.ar.wge(fig6.1nf,p=1)