sim_pcfilter | R Documentation |
Generates periodic filters.
sim_pcfilter(period, n.root, order = n.root, mo.col, ...)
period |
the period. |
n.root |
number of non-zero roots (poles). |
order |
order of the filter. |
... |
additional parameters to be passed down to |
mo.col |
the last non-zero column in the top of the mc-matrix. The default is
|
Generates periodic filters using the multicompanion approach \insertCiteboshnakov2009genmcompanion.
By default the generated filter is stable and may be used as the
autoregressive or moving average part of a periodic autoregressive
moving average model. The filter is generated from the specified
spectral information by factoring a multi-companion matrix. Any
non-specified quantities are generated randomly. Randomly generated
eigenvalues correspond to stable filter. The user may specify
non-stable roots, unit roots in particular, see sim_mc
.
A list as obtained from sim_mc
with an addtional
component for the filter.
pcfilter |
a matrix with the filter coefficients for the i-th season in the i-th row. |
todo: a) Allow different orders for the individual seasons. This is not trivial and maybe not natural for this method. In the singular case it may make sense to implement different strategies for choosing the factorization (when it is not unique) and to choose more carefully the order of the filter to ensure existence of factorization, see my paper.
Georgi N. Boshnakov
boshnakov2002mcmcompanion
\insertRefboshnakov2009genmcompanion
sim_mc
rfi <- sim_pcfilter(2,3)
rfi
mo <- cbind(c(1,1),rfi$pcfilter)
mo
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.