[R] mean reverting model

[andrew]

Autoregression is just X(n+1) = a X(n) + b + error.  The mean
reverting model is when |a| < 1.  Estimation is carried out using

x_ar <- ar(x)
summary(x_ar)

standard error is found in the square root of the diagonal of the x_ar
$asy.var.coef matrix.

please read the documentation found at ?ar to get full details.

On Mar 10, 9:18 am, Josuah Rechtsteiner <rechtstei... at bgki.net> wrote:
> hi andrew,
>
> the problem is that I don't know what kind of model this exactly is...
> I only know that I have to do it this way and how the model is  
> structured.
>
>
>
> > Mean reverting model = autoregression?  If so, then search for
>
> > ?ar
>
> > or
>
> > ?arima
>
> > to fit a time series.
>
> > On Mar 10, 4:36 am, Josuah Rechtsteiner <rechtstei... at bgki.net> wrote:
> >> dear useRs,
>
> >> i'm working with a mean reverting model of the following  
> >> specification:
>
> >> y = mu + beta(x - mu) + errorterm, where mu is a constant
>
> >> currently I estimate just y = x (with lm()) to get beta and then
> >> calculate mu = estimated intercept / (1-beta).
>
> >> but I'd like to estimate mu and beta together in one regression-step
> >> and also get the test-statistics (including parameter variance) for  
> >> mu
> >> as well as for beta in the summary of the regression.
>
> >> could you please help me?
>
> >> thanks very much in advance!
>
> >> josuah
>
> >> ______________________________________________
> >> R-h... at r-project.org mailing listhttps://stat.ethz.ch/mailman/
> >> listinfo/r-help
> >> PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html
> >> and provide commented, minimal, self-contained, reproducible code.
>
> > ______________________________________________
> > R-h... at r-project.org mailing list
> >https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
> ______________________________________________
> R-h... at r-project.org mailing listhttps://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.