[R] mean reverting model

andrew
2009-03-09T21:33:42Z

Mean reverting model = autoregression?  If so, then search for

?ar

or

?arima

to fit a time series.

On Mar 10, 4:36?am, Josuah Rechtsteiner <rechtstei... at bgki.net>
wrote:
> dear useRs,
>
> i'm working with a mean reverting model of the following specification:
>
> y = mu + beta(x - mu) + errorterm, where mu is a constant
>
> currently I estimate just y = x (with lm()) to get beta and then ?
> calculate mu = estimated intercept / (1-beta).
>
> but I'd like to estimate mu and beta together in one regression-step ?
> and also get the test-statistics (including parameter variance) for mu ?
> as well as for beta in the summary of the regression.
>
> could you please help me?
>
> thanks very much in advance!
>
> josuah
>
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