AR1Est(FitAR) | R Documentation |
This function is used by GetFitAR in the AR(1) case. Fast exact solution using the root of a cubic equation.
AR1Est(z, MeanValue = 0)
z |
time series or vector |
MeanValue |
known mean |
The exact MLE for AR(1) satisfies a cubic equation. The solution of this equation for the MLE is given by Ying (2002) is used. This approach is more reliable as well as faster than the usual approach to the exact MLE using a numerical optimization technique which can occassionally have convergence problems.
MLE for the parameter
A.I. McLeod and Ying Zhang
Zhang, Y. (2002). Topics in Autoregression, Ph.D. Thesis, University of Western Ontario.
AR1Est(lynx)