sie.auto.fit {Sie2nts}

Estimate the Coefficients of Auto-Regressive (AR) Model Automatically

Description

sie.auto.fit() estimates the coefficients of AR model by sieve methods with 2 cross validation methods and elbow method.

Usage

sie.auto.fit(ts, type, or = 4, method = "LOOCV", m = 500, threshold = 0)

Arguments

ts

ts is the data set which is a time series data typically

type

type indicates which type of basis is used. There are 31 types in this package

or

indicates the order of spline and only used in Cspli type, default is 4 which indicates cubic spline

method

method indicates which method used to choose optimal parameters, 3 methods in this package can be used

m

m indicates the number of points of coefficients to estimate

threshold

threshold determines the bound for Elbow method

Value

A list contains 4 objects, the first is estimates for coefficients in AR model, the second is cross validation table, the third is estimates for each basis used in OLS and the last is optimal parameters