tvAR {NTS} | R Documentation |
Estimate Time-Varying Coefficient AR Models
Description
Estimate time-varying coefficient AR models.
Usage
tvAR(x, lags = c(1), include.mean = TRUE)
Arguments
x |
a time series of data. |
lags |
the lagged variables used, e.g. lags=c(1,3) means lag-1 and lag-3 are used as regressors. It is more flexible than specifying an order. |
include.mean |
a logical value indicating whether the constant terms are included. |
Value
trAR
function returns the value from function dlmMLE
.
Examples
t=50
x=rnorm(t)
phi1=matrix(0.4,t,1)
for (i in 2:t){
phi1[i]=0.7*phi1[i-1]+rnorm(1,0,0.1)
x[i]=phi1[i]*x[i-1]+rnorm(1)
}
est=tvAR(x,1)
[Package NTS version 1.1.3 Index]