FGN (version 2.0-12)

FitRegressionFGN: Regression with FGN Errors

Description

Fits a multiple linear regression with FGN errors

Usage

FitRegressionFGN(X, y)

Arguments

X

design matrix, must include column of 1's if constant term is present

y

the response variable, a time series

Value

a list with 3 elements:

Loglikelihood

value of the maximized loglikelihood

H

MLE for H

alpha

MLE for regression coefficients corresponding to colums of X

Details

An iterative algorithm is used to compute the exact MLE.

References

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

FitFGN, lsfit

Examples

#simulate FGN with mean zero and H=0.2 and fit exact mle for H and mean
H<-0.2
z<-SimulateFGN(512, H)
mean(z)
X<-matrix(rep(1,length(z)), ncol=1)
ans<-FitRegressionFGN(X,z)
ans


#fit a step intervention model to the Nile annual riverflow data
data(NileFlowCMS)
n<-length(NileFlowCMS)
X<-matrix(c(rep(1,n),rep(0,32),rep(1,n-32)),ncol=2)
ans<-FitRegressionFGN(X,NileFlowCMS)
ans