pyhctsa.operations.model_fit.ar_cov¶

pyhctsa.operations.model_fit.ar_cov(y, p=2)¶

Fits an autoregressive (AR) model of a given order p.

Uses the arcov approach (covariance method) to fit an AR model to the input time series.

Parameters:¶

y : array-like¶

The input time series.

p : int, optional¶

The AR model order. Default is 2.

Returns:¶

Dictionary containing the parameters of the fitted model, the variance estimate of a white noise input to the AR model, the root-mean-square (RMS) error of a reconstructed time series, and the autocorrelation of residuals.

Return type:¶

dict