burg {itsmr} | R Documentation |
Estimate AR coefficients using the Burg method
Description
Estimate AR coefficients using the Burg method
Usage
burg(x, p)
Arguments
x |
Time series data (typically residuals from |
p |
AR order |
Details
The innovations algorithm is used to estimate white noise variance.
Value
Returns an ARMA model consisting of a list with the following components.
phi |
Vector of AR coefficients (index number equals coefficient subscript) |
theta |
0 |
sigma2 |
White noise variance |
aicc |
Akaike information criterion corrected |
se.phi |
Standard errors for the AR coefficients |
se.theta |
0 |
See Also
Examples
M = c("diff",1)
e = Resid(dowj,M)
a = burg(e,1)
print(a)
[Package itsmr version 1.10 Index]