I have coded a time series from simulated data:
simtimeseries <- arima.sim(n=1024,list(order=c(4,0,0),ar=c(2.7607, -3.8106,
2.6535, -0.9258),sd=sqrt(1)))
#show roots are outside unit circle
plot.ts(simtimeseries, xlab="", ylab="", main="Time Series of Simulated Data")
# Yule
----------------------------------------------------------------------------
q1 <- cbind(simtimeseries[1:1024])
q2 <- t(q1)%*%q1
s0 <- q2/1204
r1 <- cbind(simtimeseries[1:1023])
r2 <- cbind(simtimeseries[2:1024])
r3 <- t(r1)%*%r2
s1 <- r3/1204
t1 <- cbind(simtimeseries[1:1022])
t2 <- cbind(simtimeseries[3:1024])
t3 <- t(t1)%*%t2
s2 <- t3/1204
u1 <- cbind(simtimeseries[1:1021])
u2 <- cbind(simtimeseries[4:1024])
u3 <- t(u1)%*%u2
s3 <- u3/1204
v1 <- cbind(simtimeseries[1:1020])
v2 <- cbind(simtimeseries[5:1024])
v3 <- t(v1)%*%v2
s4 <- v3/1204
i0 <- c(s0,s1,s2,s3)
i1 <- c(s1,s0,s1,s2)
i2 <- c(s2,s1,s0,s1)
i3 <- c(s3,s2,s1,s0)
gamma <- cbind(i0,i1,i2,i3)
eta <-c(s1,s2,s3,s4)
inversegamma <- solve(gamma)
phihat <- inversegamma%*%eta
phihat
Phihat <- cbind(phihat)
s <- c(s1,s2,s3,s4)
S <- cbind(s)
sigmasquaredyule <- s0 - (t(Phihat)%*%S)
sigmasquaredyule
I did a yule walker estimate on the simulated data and wanted to work out phi
hat which is a vector of 4 values and sigmasquaredyule which is one value.
However, I want to run the simulated data 100 times i.e. in a for loop and
then take the averages of the phi hat values and sigmasquaredyule value.
How would i repeat this simulated time series lots of times (e.g. a 100 times)
and store the average value of phi hat and sigmasquaredyule.
Thank you
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