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2009 Nov 13
2
AR(2) modelling
...us0, myserieminus2) #method 1 phihat1 <- r1*(1-r2)/(1-r1^2) phihat2 <- (r2-r1^2)/(1-r1^2) #method 2 bigR <- cbind(c(1, r1), c(r1, 1)) smallr <- c(r1, r2) ressolve <- solve(bigR, smallr) resaryw <- ar(myserie, method="yule-walker", order.max=2, aic=FALSE) cat("\t\tmanual YW 1\t\tmanual YW 2\t\tar YW\n") cat("first coef", phihat1,"\t", ressolve[1],"\t\t", resaryw$ar[1], "\n") cat("first coef", phihat2,"\t", ressolve[2],"\t", resaryw$ar[2], "\n\n") > manual YW 1 manual YW 2 a...
2009 Nov 13
2
AR(2) modelling
...us0, myserieminus2) #method 1 phihat1 <- r1*(1-r2)/(1-r1^2) phihat2 <- (r2-r1^2)/(1-r1^2) #method 2 bigR <- cbind(c(1, r1), c(r1, 1)) smallr <- c(r1, r2) ressolve <- solve(bigR, smallr) resaryw <- ar(myserie, method="yule-walker", order.max=2, aic=FALSE) cat("\t\tmanual YW 1\t\tmanual YW 2\t\tar YW\n") cat("first coef", phihat1,"\t", ressolve[1],"\t\t", resaryw$ar[1], "\n") cat("first coef", phihat2,"\t", ressolve[2],"\t", resaryw$ar[2], "\n\n") > manual YW 1 manual YW 2 a...