scree_type_ar {beyondWhittle} R Documentation

## Negative log AR likelihood values for scree-type plots

### Description

(Approximate) negative maximum log-likelihood for for different autoregressive orders to produce scree-type plots.

### Usage

```scree_type_ar(data, order.max, method = "yw")
```

### Arguments

 `data` numeric vector of data `order.max` maximum autoregressive order to consider `method` character string giving the method used to fit the model, to be forwarded to `stats::ar`

### Details

By default, the maximum likelihood is approximated by the Yule-Walker method, due to numerical stabililty and computational speed. Further details can be found in the simulation study section in the referenced paper.

### Value

a data frame containing the autoregressive orders `p` and the corresponding negative log likelihood values `nll`

### References

C. Kirch et al. (2018) Beyond Whittle: Nonparametric Correction of a Parametric Likelihood With a Focus on Bayesian Time Series Analysis Bayesian Analysis <doi:10.1214/18-BA1126>

### Examples

```## Not run:

###
### Interactive visual inspection for the sunspot data
###

data <- sqrt(as.numeric(sunspot.year))
data <- data <- data - mean(data)

screeType <- scree_type_ar(data, order.max=15)

# Determine the autoregressive order by an interactive visual inspection of the scree-type plot
plot(x=screeType\$p, y=screeType\$nll, type="b")
p_ind <- identify(x=screeType\$p, y=screeType\$nll, n=1, labels=screeType\$p)
print(screeType\$p[p_ind])

## End(Not run)
```

[Package beyondWhittle version 1.1.1 Index]