qser2ar {qfa}

Autoregression (AR) Model of Quantile Series

Description

This function fits an autoregression (AR) model to quantile series (QSER) separately for each quantile level using stats::ar().

Usage

qser2ar(y.qser, p = NULL, order.max = NULL)

Arguments

y.qser

matrix or array of pre-calculated QSER, e.g., using qser()

p

order of AR model (default = NULL: selected by AIC)

order.max

maximum order for AIC if p = NULL (default = NULL: determined by stats::ar())

Value

a list with the following elements:

A

matrix or array of AR coefficients

V

vector or matrix of residual covariance

p

order of AR model

n

length of time series

residuals

matrix or array of residuals