Get1G
(Package: FitAR) :
Internal Utility Function: BLUE Mean
This function is not normally used directly by the user. It is used in the exact mle for mean.
● Data Source:
CranContrib
● Keywords: ts
● Alias: Get1G
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FromSymmetricStorageUpper
(Package: FitAR) :
Converts a Matrix from Symmetric Storage Mode to Regular Format
Utility function.
● Data Source:
CranContrib
● Keywords: array, ts
● Alias: FromSymmetricStorageUpper
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fitted.FitAR
(Package: FitAR) :
Fitted Values from "FitAR" Object
Method function, extracts fitted values from FitAR object.
● Data Source:
CranContrib
● Keywords: ts
● Alias: fitted.FitAR
●
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FitARz
(Package: FitAR) :
Subset ARz Model Fitting
The subset ARz model, defined by constraining partial autocorrelations to zero, is fitted using exact MLE. When length(p)=1, an AR(p) is fit by MLE.
● Data Source:
CranContrib
● Keywords: ts
● Alias: FitARz
●
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FitARp
(Package: FitAR) :
Fit subset ARp Models
The subset ARp is defined as an AR(p) in which some of the ar-coefficients are constrained to zero. This is the usual type of subset AR. In contrast the ARz model constrains some of the partial autocorrelation coefficients to zero.
● Data Source:
CranContrib
● Keywords: ts
● Alias: FitARp
●
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FitAR
(Package: FitAR) :
Fit AR, ARp and ARz
Exact MLE for full AR as well as subset AR. Both subset ARp and subset ARz models are implemented. For subset ARp models the R function arima is used. For full AR and subset ARz models, algorithm of McLeod & Zhang (2006) is implemented. The LS algorithm for subset ARp is also available as an option.
● Data Source:
CranContrib
● Keywords: ts
● Alias: FitAR
●
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For model estimation the main function is FitAR for which generic methods print, summary, coef, plot and predict are implemented. For model identification, there is a new PacfPlot for subset ARz idenfication. Subset models may also be selected using AIC, BIC and UBIC criteria with the function SelectModel. SelectModel produces a S3 class object, "SelectModel", for which their is a plot method. The main fitting function is FitAR. New methods and generic functions, BoxCox, Boot and sdfplot are given. Methods for print, summary, coef, residuals, fitted and predict implemented.
● Data Source:
CranContrib
● Keywords: ts
● Alias: FitAR-package
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FastLoglikelihoodAR
(Package: FitAR) :
Fast Computation of the Loglikelihood Function in AR
Computation of the loglikelihood is O(1) flops in repeated evaluations of the loglikelihood holding the data fixed and varying the parameters. This is useful in exact MLE estimation.
● Data Source:
CranContrib
● Keywords: ts
● Alias: FastLoglikelihoodAR
●
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DetAR
(Package: FitAR) :
Covariance Determinant of AR(p)
Computes the covariance determinant of p successive observations from an AR(p) process with unit innovation variance.
● Data Source:
CranContrib
● Keywords: ts
● Alias: DetAR
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cts
(Package: FitAR) :
Concantenate Time Series
Creating a ts object by concatenating y onto x, where x is a ts object and y is a vector. If y is a ts object, it is simply converted to a vector and then concatenated on to x and the tsp attribute of y is ignored.
● Data Source:
CranContrib
● Keywords: ts
● Alias: cts
●
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providing 
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