tsDyn: linear – R documentation

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linear

Linear AutoRegressive models

AR(m) model

linear(x, m, d=1, steps=d, series, include = c( "const", "trend","none", "both"),
        type=c("level", "diff", "ADF"))

`x`	time series
`m, d, steps`	embedding dimension, time delay, forecasting steps
`series`	time series name (optional)
`include`	Type of deterministic regressors to include
`type`	Whether the variable is taken is level, difference or a mix (diff y= y-1, diff lags) as in the ADF test

AR(m) model:

x[t+steps] = phi[0] + phi[1] x[t] + phi[2] x[t-d] + … + phi[m] x[t - (m-1)d] + eps[t+steps]

A nlar object, linear subclass.

Antonio, Fabio Di Narzo

#fit an AR(2) model
mod.linear <- linear(log(lynx), m=2)
mod.linear
#summary(mod.linear)

Nonlinear Time Series Models with Regime Switching

v10-1.2

GPL (>= 2)

Authors

Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut], Ho Tsung-wu [cre]

Initial release

2020-02-04