marfit {TSSS} | R Documentation |
Fit a multivariate AR model by Yule-Walker method.
marfit(y, lag = NULL)
y |
a multivariate time series. |
lag |
highest order of fitted AR models. Default is
2*sqrt(n), where n is the length of the time series |
An object of class "maryule"
, which is a list with the following
elements:
maice.order |
order of minimum AIC. |
aic |
AIC's of the AR model with order 0,…, |
v |
innovation covariance matrix of AIC best model. |
arcoef |
AR coefficient of the AIC best model. |
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
# Yaw rate, rolling, pitching and rudder angle of a ship data(HAKUSAN) yy <- as.matrix(HAKUSAN[, c(1,2,4)]) # Yaw rate, Pitching, Rudder angle nc <- dim(yy)[1] n <- seq(1, nc, by = 2) y <- yy[n, ] marfit(y, 20)