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v1.9.11

Stationary AR(k) process. More...
#include <density.hpp>
Public Member Functions  
vectortype  cov (int n) 
Covariance extractor. Run YouleWalker recursions and return a vector of length n representing the autocovariance function.  
scalartype  operator() (vectortype x) 
Evaluate the negative log density.  
Stationary AR(k) process.
phi_  Vector of length k with parameters. 
Class to evaluate the negative log density of a stationary AR(k)process with parameter vector phi=[phi_1,...,phi_k]: x[t]=phi_1*x[t1]+...+phi_k*x[tk]+eps[t] where eps[t]~N(0,sigma^2). The parameter sigma^2 is chosen to obtain V(x[t])=1 so that the class actually specifies a correlation model. Examples: ARk(phi) < simple mean zero variance 1 AR(k) process. Steady state initial distribution is found by (e.g. k=3) [gamma(1)] [gamma(0) gamma(1) gamma(2)] [phi1] [ .... ] = [gamma(1) gamma(0) gamma(1)] * [phi2] [gamma(3)] [gamma(2) gamma(1) gamma(0)] [phi3]
Definition at line 495 of file density.hpp.