gmwm (version 2.0.0)

AR: Create an Autoregressive P [AR(P)] Process

Description

Setups the necessary backend for the AR(P) process.

Usage

AR(phi = NULL, sigma2 = 1)

Arguments

phi

A vector with double values for the $phi$ of an AR(P) process.

sigma2

A double value for the variance, $sigma^2$, of a WN process.

Value

An S3 object with called ts.model with the following structure:

process.desc

Used in summary: "AR-1","AR-2", ..., "AR-P", "SIGMA2"

theta

$phi[[1]]$, $phi[[2]]$, ..., $phi[[p]]$, $sigma^2$

plength

Number of Parameters

desc

"AR"

obj.desc

Depth of Parameters e.g. list(p,1)

starting

Guess Starting values? TRUE or FALSE (e.g. specified value)

Examples

AR(1) # Slower version of AR1()
AR(phi=.32, sigma=1.3) # Slower version of AR1()
AR(2) # Equivalent to ARMA(2,0).