Sets up the necessary backend for the AR(P) process.
AR(phi = NULL, sigma2 = 1)A vector with double values for the \(\phi\) of an AR(P) process (see Note for details).
A double value for the variance, \(\sigma ^2\), of an AR(P) process. (see Note for details).
An S3 object with called ts.model with the following structure:
Used in summary: "AR-1","AR-2", ..., "AR-P", "SIGMA2"
\(\phi_1\), \(\phi_2\), ..., \(\phi_p\), \(\sigma^2\)
Number of Parameters
"AR"
String containing simplified model
Depth of Parameters e.g. list(p,1)
Guess starting values? TRUE or FALSE (e.g. specified value)
We consider the following model: $$X_t = \sum_{j = 1}^p \phi_j X_{t-1} + \varepsilon_t$$ , where \(\varepsilon_t\) is iid from a zero mean normal distribution with variance \(\sigma^2\).
AR(1) # Slower version of AR1()
AR(phi=.32, sigma=1.3) # Slower version of AR1()
AR(2) # Equivalent to ARMA(2,0).