Ben Ben - 3 months ago 14
R Question

How does autoregression work in R?

I don't understand results of

ar()
function in R.

I made up a very simple case, Fibonacci sequence:

x <- c(1,1,2,3,5,8,13,21,34,55)
ar(x)


result is

Coefficients:
1
0.5531


I would expect result of 1,1 - for the model
x(n) = 1* x(n-1) + 1 * x(n-2)


Can anyone explain me please why I don't get expected result?

Answer

You may use ar.ols to estimate this non-stationary series.

From the docs,

ar.ols fits the general AR model to a possibly non-stationary and/or multivariate system of series x.

Example with your data:

ar.ols(x,demean=FALSE)

Call:
ar.ols(x = x, demean = FALSE)

Coefficients:
1  2  
1  1 
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