Definition of an Autoregressive Process of Order 1

AR1(phi = NULL, sigma2 = 1)

Arguments

phi: A double value for the parameter $\phi$ (see Note for details).
sigma2: A double value for the variance parameter $\sigma ^2$ (see Note for details).

Value

An S3 object containing the specified ts.model with the following structure:

process.desc: Used in summary: "AR1","SIGMA2"
theta: Parameter vector including $\phi$, $\sigma^2$
plength: Number of parameters
print: String containing simplified model
desc: "AR1"
obj.desc: Depth of Parameters e.g. list(1,1)
starting: Find starting values? TRUE or FALSE (e.g. specified value)

Note

We consider the following AR(1) model: $$X_t = \phi X_{t-1} + \varepsilon_t$$, where $\varepsilon_t$ is iid from a zero mean normal distribution with variance $\sigma^2$.

Author

James Balamuta

Examples

AR1()
AR1(phi=.32, sigma2 = 1.3)