factab: Calculate Characteristic Roots and System Frequency

In cts: Continuous Time Autoregressive Models

Description

Calculate characteristic roots and system frequency from the estimated reparameterized coefficients of CAR fits.

Usage

factab(object)

Arguments

object

a fitted time-series CAR model

Value

A table with characteristic roots and frequencies for the corresponding model fit.

Author(s)

G. Tunnicliffe Wilson and Zhu Wang

References

Belcher, J. and Hampton, J. S. and Tunnicliffe Wilson, G. (1994). Parameterization of continuous time autoregressive models for irregularly sampled time series data. Journal of the Royal Statistical Society, Series B, Methodological,56,141–155

Jones, Richard H. (1981). Fitting a continuous time autoregression to discrete data. Applied Time Series Analysis II, 651–682

Wang, Zhu(2004). The Application of the Kalman Filter to Nonstationary Time Series through Time Deformation. PhD thesis, Southern Methodist University

Wang, Zhu (2013). cts: An R Package for Continuous Time Autoregressive Models via Kalman Filter. Journal of Statistical Software, Vol. 53(5), 1–19. http://www.jstatsoft.org/v53/i05

See Also

car and kalsmo

Examples

data(asth)
(fit <- car(asth,scale=0.25,order=4))
factab(fit)

cts documentation built on May 2, 2019, 2:46 a.m.