aic.burg.wge {tswge}

AR Model Identification using Burg Estimates

Description

AR model identification using either AIC, AICC, or BIC

Usage

aic.burg.wge(x, p = 1:5, type = "aic")

Arguments

x

Realization to be analyzed

p

Range of p values to be considered

type

Type of model identification criterion: aic, aicc, or bic

Value

type

Criterion used: aic (default), aicc, or bic

min_value

Value of the minimized criterion

p

AR order for selected model

phi

AR parameter estimates for selected model

vara

White noise variance estimate for selected model

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

data(fig3.18a)
          aic.burg.wge(fig3.18a,p=1:5,type='aicc')