sm.regression.autocor {sm}R Documentation

Nonparametric regression with autocorrelated errors


This function estimates nonparametrically the regression function of y on x when the error terms are serially correlated.


sm.regression.autocor(x = 1:n, y, h.first, minh, maxh, method = "direct", ...)



vector of the response values


the smoothing parameter used for the initial smoothing stage.


vector of the covariate values; if unset, it is assumed to be 1:length(y).


the minimum value of the interval where the optimal smoothing parameter is searched for (default is 0.5).


the maximum value of the interval where the optimal smoothing parameter is searched for (default is 10).


character value which specifies the optimality criterium adopted; possible values are "no.cor", "direct" (default), and "indirect".


other optional parameters are passed to the sm.options function, through a mechanism which limits their effect only to this call of the function. Those relevant for this function are the following: ngrid, display; see the documentation of sm.options for their description.


see Section 7.5 of the reference below.


a list as returned from sm.regression called with the new value of smoothing parameter, with an additional term $aux added which contains the initial value h.first, the estimated curve using h.first, the autocorrelation function of the residuals from the initial fit, and the residuals.

Side Effects

a new suggested value for h is printed; also, if the parameter display is not equal to "none", graphical output is produced on the current graphical device.


Bowman, A.W. and Azzalini, A. (1997). Applied Smoothing Techniques for Data Analysis: the Kernel Approach with S-Plus Illustrations. Oxford University Press, Oxford.

See Also

sm.regression, sm.autoregression

[Package sm version 2.2-5.6 Index]