cov_method {slm}

Methods to estimate the autocovariances of a process

Description

This function gives the estimation of the autocovariances of the error process, with the method chosen by the user. Five methods are available: "fitAR", "spectralproj", "efromovich", "kernel" and "select".

Usage

cov_method(epsilon, method_cov_st = "fitAR", model_selec = -1,
  model_max = NULL, kernel_fonc = NULL, block_size = NULL,
  block_n = NULL, plot = FALSE)

Arguments

epsilon

numeric vector. An univariate process.

method_cov_st

the method chosen by the user to estimate the autocovariances of the error process. The user has the choice between the methods "fitAR", "spectralproj", "efromovich", "kernel", "select" or "hac". By default, the "fitAR" method is used.

model_selec

integer or -1. The order of the method. If model_selec = -1, the method works automatically.

model_max

integer. Maximal dimension of the method.

kernel_fonc

function. Use this argument if method_cov_st = kernel. Define the kernel to use in the method. The user can give his own kernel function.

block_size

integer. Size of the bootstrap blocks if method_cov_st = kernel. block_size must be greater than model_max.

block_n

integer. Blocks number to use for the bootstrap if method_cov_st = kernel.

plot

logical. By default, plot = FALSE.

Value

The function returns the autocovariances computed with the chosen method.

References

E. Caron, J. Dedecker and B. Michel (2019). Linear regression with stationary errors: the R package slm. arXiv preprint arXiv:1906.06583. https://arxiv.org/abs/1906.06583.

Examples

x = arima.sim(list(ar=c(0.4,0.2)),1000)
cov_method(x, method_cov_st = "fitAR", model_selec = -1)