FastLoglikelihoodAR {FitAR}R Documentation

Fast Computation of the Loglikelihood Function in AR

Description

Computation of the loglikelihood is O(1) flops in repeated evaluations of the loglikelihood holding the data fixed and varying the parameters. This is useful in exact MLE estimation.

Usage

FastLoglikelihoodAR(phi, n, CD)

Arguments

phi AR coefficients
n length of series
CD Champernowne matrix

Details

The details of this computation are described in McLeod and Zhang (2006).

Value

loglikelihood

Author(s)

A.I. McLeod

References

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

See Also

ChampernowneD, LoglikelihoodAR

Examples

#Compute the loglikelihood using the direct method as implemented
# in LoglikelihoodAR and using the fast method
data(SeriesA)
phi<-PacfToAR(rep(0.5,10))
p<-length(phi)
z<-SeriesA-mean(SeriesA)
n<-length(z)
L1<-LoglikelihoodAR(phi, z)
cd<-ChampernowneD(z,p,MeanZero=TRUE)
L2<-FastLoglikelihoodAR(phi,n,cd)
out<-c(L1,L2)
names(out)<-c("direct","fast")
out


[Package FitAR version 1.0 Index]