The TS_COEF function computes the coefficients f1, f2, ... , fP 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.
Result = TS_COEF( X, P [, /DOUBLE] [, MSE=variable] )
Returns a P-element vector whose type is identical to X.
An n-element single- or double-precision floating-point vector containing time-series samples.
An integer or long integer scalar that specifies the number of coefficients to be computed.
Set this keyword to force the computation to be done in double-precision arithmetic.
Set this keyword to a named variable that will contain the mean square error of the P-th order autoregressive model.
; 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
Introduced: 4.0