arfit {TSSS} | R Documentation |
Fit a univariate AR model by Yule-Walker method, Least squares (Householder) method or PARCOR method.
arfit(y, lag = NULL, method = 1, plot = TRUE, ...)
y |
a univariate time series. | ||||||||||
lag |
highest order of AR model. Default is 2*sqrt(n),
where n is the length of the time series | ||||||||||
method |
estimation procedure.
| ||||||||||
plot |
logical. If | ||||||||||
... |
further arguments to be passed to |
An object of class "arfit"
, which is a list with the following
elements:
sigma2 |
innovation variance. |
maice.order |
order of minimum AIC. |
aic |
AIC. |
arcoef |
AR coefficients of the best model. |
parcor |
PARCOR. |
spec |
power spectrum (in log scale). |
tsname |
the name of the univariate time series |
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
# Sun spot number data data(Sunspot) arfit(log10(Sunspot), 20) # BLSALLFOOD data data(BLSALLFOOD) arfit(BLSALLFOOD)