Sets up the necessary backend for the AR(P) process.

AR(phi = NULL, sigma2 = 1)

## Arguments

phi

A vector with double values for the $$\phi$$ of an AR(P) process (see Note for details).

sigma2

A double value for the variance, $$\sigma ^2$$, of an AR(P) process. (see Note for details).

## Value

An S3 object with called ts.model with the following structure:

process.desc

Used in summary: "AR-1","AR-2", ..., "AR-P", "SIGMA2"

theta

$$\phi_1$$, $$\phi_2$$, ..., $$\phi_p$$, $$\sigma^2$$

plength

Number of Parameters

desc

"AR"

print

String containing simplified model

obj.desc

Depth of Parameters e.g. list(p,1)

starting

Guess starting values? TRUE or FALSE (e.g. specified value)

## Note

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 $$\sigma^2$$.

James Balamuta

## Examples

AR(1) # Slower version of AR1()
AR(phi=.32, sigma=1.3) # Slower version of AR1()
AR(2) # Equivalent to ARMA(2,0).