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Nonparametric estimate of the innovation variance
The innovation variance is estimated using a high order AR approximation determined by the AIC or
by using Kolmogoroff's formula with a smoothed periodogram. Default is AR.
innovationVariance(z, method = c("AR", "Kolmogoroff"), ...)

time series
Default "AR". Set to "Kolmogoroff" for non-parametric periodogram estimate.
optional arguments that are passed to spec.pgram()
\value{ the innovation variance
A. I. McLeod


#fitting high-order AR
#using periodogram
innovationVariance(z, method="Kolmogoroff")
#using smoothed periodogram
innovationVariance(z, method="Kolmogoroff", span=c(3, 3))
#the plot argument for spec.pgram() works too
innovationVariance(z, method="Kolmogoroff", span=c(3, 3), plot=TRUE)
\keyword{ ts }
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