AutoregressionMDE

Minimum Distance Estimation in Autoregressive Model

CRAN Package

Consider autoregressive model of order p where the distribution function of innovation is unknown, but innovations are independent and symmetrically distributed. The package contains a function named ARMDE which takes X (vector of n observations) and p (order of the model) as input argument and returns minimum distance estimator of the parameters in the model.

  • Version1.0
  • R version≥ 3.2.2
  • LicenseGPL-2
  • Needs compilation?No
  • Last release09/14/2015

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