TS_COEF

The TS_COEF function computes the coefficients φ₁, φ₂, ... , φ_P used in a P-th order autoregressive time-series forecasting model. This routine is written in the IDL language. Its source code can be found in the file ts_coef.pro in the lib subdirectory of the IDL distribution.

Examples

; Define an n-element vector of time-series samples:
X = [6.63, 6.59, 6.46, 6.49, 6.45, 6.41, 6.38, 6.26, 6.09, 5.99, $
     5.92, 5.93, 5.83, 5.82, 5.95, 5.91, 5.81, 5.64, 5.51, 5.31, $
     5.36, 5.17, 5.07, 4.97, 5.00, 5.01, 4.85, 4.79, 4.73, 4.76]
; Compute the coefficients of a 5th order autoregressive model:
PRINT, TS_COEF(X, 5)

IDL prints:

1.30168    -0.111783    -0.224527     0.267629    -0.233363

Syntax

Result = TS_COEF( X, P [, /DOUBLE] [, MSE=variable] )

Return Value

Returns a P-element vector whose type is identical to X.

Arguments

X

An n-element single- or double-precision floating-point vector containing time-series samples.

P

An integer or long integer scalar that specifies the number of coefficients to be computed.

Keywords

DOUBLE

Set this keyword to force the computation to be done in double-precision arithmetic.

MSE

Set this keyword to a named variable that will contain the mean square error of the P‑th order autoregressive model.

Version History

4.0	Introduced