tswge (version 2.1.0)

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, method = "mle")

Value

method

Estimation method used: MLE, Burg, or YW

phi.est

Estimates of the AR parameters

res

Estimated residuals (using backcasting) based on estimated model

avar

Estimated white noise variance (based on backcast residuals)

xbar

Sample mean of data in x

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

method

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

Author

Wayne Woodward

Details

The 'type' arument is added for backwards compatabililty and if specified will replace the value specified in the 'method' argument.

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)