Nonparametric estimate of the innovation variance
The innovation variance is estimated using a high order AR approximation determined by the AIC or by using Kolmogoroff's formula with a smoothed periodogram. Default is AR.
innovationVariance(z, method = c("AR", "Kolmogoroff"), ...)z |
time series |
method |
Default "AR". Set to "Kolmogoroff" for non-parametric periodogram estimate. |
... |
optional arguments that are passed to spec.pgram() |
the innovation variance
A. I. McLeod
z<-sunspot.year #fitting high-order AR innovationVariance(z) #using periodogram innovationVariance(z, method="Kolmogoroff") #using smoothed periodogram innovationVariance(z, method="Kolmogoroff", span=c(3, 3)) #the plot argument for spec.pgram() works too innovationVariance(z, method="Kolmogoroff", span=c(3, 3), plot=TRUE)
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