AR1Est {FitAR}R Documentation

Exact MLE Mean-Zero AR(1)

Description

This function is used by GetFitAR in the AR(1) case. It is a fast exact solution using the root of a cubic equation.

Usage

AR1Est(z, MeanValue = 0)

Arguments

z time series or vector
MeanValue known mean

Details

The exact MLE for mean-zero AR(1) satisfies a cubic equation. The solution of this equation for the MLE 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 occasionally have convergence problems.

Value

MLE for the parameter

Author(s)

A.I. McLeod and Ying Zhang

References

Zhang, Y. (2002). Topics in Autoregression, Ph.D. Thesis, University of Western Ontario.

See Also

GetFitAR

Examples

AR1Est(lynx-mean(lynx))

[Package FitAR version 1.0 Index]