The AR companion object provides factory methods for the AR class.
Attributes
Members list
Value members
Concrete methods
Create a AR object.
Create a AR object.
Value parameters
- adjusted
-
whether in
Correlogramwhen calculating auto-covarainces/auto-correlations to adjust to account for the number of elements in the sum Σ (or use dim-1) - bakcast
-
whether a backcasted value is prepended to the time series (defaults to false)
- hh
-
the maximum forecasting horizon (h = 1 to hh)
- hparam
-
the hyper-parameters
- tRng
-
the time range, if relevant (time index may suffice)
- y
-
the response vector (time series data)
Attributes
- See also
-
VectorD.acov
Create an AR object by building an input matrix xy and then calling the AR constructor. Also rescale the input data.
Create an AR object by building an input matrix xy and then calling the AR constructor. Also rescale the input data.
Value parameters
- bakcast
-
whether a backcasted value is prepended to the time series (defaults to false)
- hh
-
the maximum forecasting horizon (h = 1 to hh)
- hparam
-
the hyper-parameters
- tForm
-
the z-transform (rescale to standard normal)
- tRng
-
the time range, if relevant (time index may suffice)
- y
-
the endogenous/response vector (main time series data)
Attributes
Concrete fields
Base hyper-parameter specification for the AR, ARMA, ARIMA, SARIMA and SARIMAX classes
Base hyper-parameter specification for the AR, ARMA, ARIMA, SARIMA and SARIMAX classes