ar1nv {vectorwavelet}

AR1NV - Estimate the parameters for an AR(1) model

Description

AR1NV - Estimate the parameters for an AR(1) model

Usage

ar1nv(x)

Arguments

x

One dimensional time series vector

Value

Return a list containing:

g

estimate of the lag-one autocorrelation.

a

estimate of the noise variance.

Author(s)

Tunc Oygur ([e-mail])

Code based on a cross wavelet and wavelet coherence toolbox MATLAB package written by Eric Breitenberger

References

SGrinsted, A., J. C. Moore, and S. Jevrejeva. 2004. Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics 11:561-566.