Create an Autoregressive P [AR(P)] Process
Sets up the necessary backend for the AR(P) process.
AR(phi = NULL, sigma2 = 1)
phi |
A |
sigma2 |
A |
An S3 object with called ts.model with the following structure:
Used in summary: "AR-1","AR-2", ..., "AR-P", "SIGMA2"
phi[[1]], phi[[2]], ..., phi[[p]], sigma^2
Number of Parameters
"AR"
String containing simplified model
Depth of Parameters e.g. list(p,1)
Guess starting values? TRUE or FALSE (e.g. specified value)
We consider the following model:
X_t = ∑_{j = 1}^p φ_j X_{t-1} + \varepsilon_t
, where \varepsilon_t is iid from a zero mean normal distribution with variance σ^2.
James Balamuta
AR(1) # Slower version of AR1() AR(phi=.32, sigma=1.3) # Slower version of AR1() AR(2) # Equivalent to ARMA(2,0).
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