Definition of an Autoregressive Process of Order 1

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

Time Series Analysis Tools

Stéphane Guerrier

James Balamuta

Roberto Molinari

Justin Lee

Lionel Voirol

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

AR1 function

<dl><dt>phi</dt>
<dd>A <code>double</code> value for the parameter \(\phi\) (see Note for details).</dd>
<dt>sigma2</dt>
<dd>A <code>double</code> value for the variance parameter \(\sigma ^2\) (see Note for details).</dd></dl>

Arguments

Author

Definition of an Autoregressive Process of Order 1 — AR1

<dl>

<dt>phi</dt>
<dd>A <code>double</code> value for the parameter \(\phi\) (see Note for details).</dd>


<dt>sigma2</dt>
<dd>A <code>double</code> value for the variance parameter \(\sigma ^2\) (see Note for details).</dd>

</dl>

Definition of an Autoregressive Process of Order 1

AR1: Definition of an Autoregressive Process of Order 1

Description

Usage

Value

Arguments

Author

Examples