https://github.com/cran/ftsa
Tip revision: 9bf6f03951ba62e84fc9c6e1728865f199ce4bb0 authored by Han Lin Shang on 01 November 2018, 18:40:03 UTC
version 5.2
version 5.2
Tip revision: 9bf6f03
rw.drift.R
rw.drift <- function(x)
{
x.diff <- diff(x)
model <- summary(lm(x.diff ~ 1))
drift <- model$coefficients[1, 1]
fits <- ts(x - c(NA, model$residuals))
tsp(fits) <- tsp(x)
return(list(drift = drift, sec = model$coefficients[1, 2],
see = model$sigma, fits = fits))
}