Skip to contents

Fit AR model using modified Burg method

burgar.Rd

Fit AR model using modified Burg method

Usage

burgar(
  x,
  ic = "AIC",
  order.max = NULL,
  na.action = na.fail,
  demean = TRUE,
  series = NULL,
  var.method = 2L,
  numCores = NULL,
  ...
)

Arguments

x

A `ts` object.

ic

Information criterion: one of 'AIC', 'BIC', 'FPE', 'AICc', 'KIC', 'AKICc'.

order.max

Maximum AR order.

na.action

How to handle NA.

demean

Whether to subtract the mean.

series

Series name.

var.method

Method for innovation variance.

...

Additional args.

Value

An `ar` object.

Details

For ic, followings can be chosen:

  • AIC: Akaike Information Criterion (penalty factor: 2)

  • BIC: Bayesian Information Criterion (penalty factor: log(n))

  • FPE: Final Prediction Error

  • AICc: Corrected AIC with bias correction for small samples

  • KIC: Kashyap Information Criterion (penalty factor: 3)

  • AKICc: Corrected KIC with bias correction