GetARMeanMLE(FitAR) | R Documentation |
Details of this algorithm are given in McLeod and Zhang (2006).
GetARMeanMLE(z, phi)
z |
vector of length n containing the time series |
phi |
vector of AR coefficients |
estimate of mean
A.I. McLeod
McLeod, A.I. and Zhang, Y. (2006, Accepted), Faster ARMA Maximum Likelihood Estimation, Computational Statistics and Data Analysis.
#Simulate a time series with mean zero and compute the exact #mle for mean and compare with sample average. set.seed(3323) phi<-c(2.7607,-3.8106,2.6535,-0.9238) z<-SimulateGaussianAR(phi,1000) ans1<-mean(z) ans2<-GetARMeanMLE(z,phi) # define a direct MLE function "DirectGetMeanMLE" <- function(z, phi){ GInv<-solve(toeplitz(TacvfAR(z, length(z)-1))) g1<-colSums(GInv) sum(g1*z)/sum(g1) } ans3<-DirectGetMeanMLE(z,phi) ans<-c(ans1,ans2,ans3) names(ans)<-c("mean", "GetARMeanMLE","DirectGetMeanMLE") ans