LINEAR {tsDyn}R Documentation

Linear AutoRegressive models

Description

AR(m) model

Usage

        linear(x, m, d=1, steps=d, series)

Arguments

x time series
m, d, steps embedding dimension, time delay, forecasting steps
series time series name (optional)

Details

AR(m) model:

x[t+steps] = phi[0] + phi[1] x[t] + phi[2] x[t-d] + ... + phi[m] x[t - (m-1)d] + eps[t+steps]

Value

A nlar object, linear subclass.

Author(s)

Antonio, Fabio Di Narzo

See Also

nlar for fitting this and other models to time series data

Examples

#fit an AR(2) model
mod.linear <- linear(log(lynx), m=2)
mod.linear
summary(mod.linear)

[Package tsDyn version 0.6-1 Index]