LS.whittle.loglik.sd {LSTS} | R Documentation |
Locally Stationary Whittle Log-likelihood sigma
Description
This function calculates log-likelihood with known \theta
,
through LS.whittle.loglik
function.
Usage
LS.whittle.loglik.sd(
x,
series,
order = c(p = 0, q = 0),
ar.order = NULL,
ma.order = NULL,
sd.order = NULL,
d.order = NULL,
include.d = FALSE,
N = NULL,
S = NULL,
include.taper = TRUE,
theta.par = numeric()
)
Arguments
x |
(type: numeric) parameter vector. |
series |
(type: numeric) univariate time series. |
order |
(type: numeric) vector corresponding to |
ar.order |
(type: numeric) AR polimonial order. |
ma.order |
(type: numeric) MA polimonial order. |
sd.order |
(type: numeric) polinomial order noise scale factor. |
d.order |
(type: numeric) |
include.d |
(type: numeric) logical argument for |
N |
(type: numeric) value corresponding to the length of the window to
compute periodogram. If |
S |
(type: numeric) value corresponding to the lag with which will go taking the blocks or windows. |
include.taper |
(type: logical) logical argument that by default is
|
theta.par |
(type: numeric) vector with the known parameters of the model. |
Details
This function computes LS.whittle.loglik
with x
as
x = c(theta.par, x)
.