Hi,
I'm trying to calculate the residuals in a one-sided AR(p) model:
sum (phi_j (X_t-j - EX)) = epsilon
My X is an ARMA(1,1)-model, which can be represented as an AR(infty) model.
I calculate the order of the model with AIC and the parameters with the
Yule-Walker method.
For the residuals, I tried:
for (k in (p+1):n){
for (j in 1:p){
eps[k] <- sum(phi[j] * (X[k-j] - mean(X)))
}
ceps[k] <- eps[k] - sum(eps)/(n-p+1) #centering the residuals
}
The residuals in my ARMA(1,1)-models are t-distributed with 6 degrees of
freedom.
Unfortunately my code results in residuals, which are all around zero. So
ecdf(eps) or ecdf(ceps) are very different from a t(6)-distribution.
Where's the bug in my code?
Regards,
Martin
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