Summary for Locally Stationary Time Series

Produces a summary of the results to Whittle estimator to Locally Stationary Time Series (LS.whittle function).

LS.summary(object)

Arguments

object

(type: list) the output of LS.whittle function

Value

A list with the following components:

summary

a resume table with estimate, std. error, z-value and p-value of the model.

aic

AIC of the model.

npar

number of parameters in the model.

Details

Calls the output from LS.whittle and computes the standard error and p-values to provide a detailed summary.

See also

LS.whittle

Examples

fit_whittle <- LS.whittle(
  series = malleco, start = c(1, 1, 1, 1),
  order = c(p = 1, q = 0), ar.order = 1, sd.order = 1, N = 180, n.ahead = 10
)
LS.summary(fit_whittle)
#> $summary
#>      Estimate Std. Error  z-value Pr(>|z|)
#> [1,]   1.9793     0.1178  16.7983        0
#> [2,]  -0.7406     0.1604  -4.6176        0
#> [3,]   0.2225     0.0086  25.8035        0
#> [4,]  -0.1004     0.0075 -13.3115        0
#> 
#> $aic
#> [1] -5.314372
#> 
#> $npar
#> [1] 4
#>