Estimate AR coefficients using the Yule-Walker method

Provides functions for modeling and forecasting time series data. Forecasting is based on the innovations algorithm. A description of the innovations algorithm can be found in the textbook "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis. <http://www.springer.com/us/book/9781475777505>.

George Weigt

itsmr

Time Series Analysis Using the Innovations Algorithm

yw function

<dl><dt>x</dt>
<dd>Time series data (typically residuals from <code>Resid</code>)</dd><dt>p</dt>
<dd>AR order</dd></dl>

Arguments

Estimate AR coefficients using the Yule-Walker method — yw

<dl>

<dt>x</dt>
<dd>Time series data (typically residuals from <code>Resid</code>)</dd>

<dt>p</dt>
<dd>AR order</dd>

</dl>

yw: Estimate AR coefficients using the Yule-Walker method

Description

Usage

Value

Arguments

Details

See Also

Examples