Description Slots Methods See Also
This class defines a structural time series model.
call
Object of class call
. Call to stsm.model
.
model
Object of class character
. Name or label for the selected model (see
stsm.model
for available models).
y
Object of class ts
. Original time series.
diffy
Object of class ts
. Differenced series y
. The differencing
operator that renders stationarity in the model
is applied to the series y
.
xreg
An optinal matrix or numeric vector of external regressors.
fdiff
Object of class function
. Function with arguments
x
: a ts
object, s
: periodicity of the data. This function
applies the differencing operator that renders stationarity in the model
to a ts
object passed to it.
ss
Object of class list
. Matrices of the state space form
of the structural model.
pars
Object of class numeric
. Named vector with the parameters of the model.
nopars
Optional object of class numeric
. An optional named vector with the remaining
parameters of the model not included in pars
.
This slot is not affected by the transformation of parameters transPars
.
These parameters are considered fixed in the optimization procedures implemented in package stsm.
cpar
Optional object of class numeric
. Named vector of length one containing the
parameter that is concentrated out of the likelihood function (if any).
lower
Object of class numeric
. Named vector with the lower bounds for
pars
.
upper
Object of class numeric
. Named vector with the upper bounds
for pars
.
transPars
Character string referring to the parameterization of the model, see
transPars
.
ssd
Optional object of class numeric
. Sample spectral density
(periodogram) of the differenced series diffy
.
sgfc
Optional object of class matrix
. Constant elements in the spectral
generating function of the model
(for pure variance models).
char2numeric
Return a list containing the matrices of the state
space representation of the model. The matrices are the same as those in the slot ss
but the characters are replaced by the corresponding numeric values defined
in pars
, nopars
and cpar
.
checkbounds
Check whether the values of pars
lie within the
lower
and upper
bounds.
get.pars
Return the slot pars
, the parameters of the model.
If the model is parameterized in terms of a set of auxiliar parameters such as those considered
in transPars
, then the transformed parameters are returned.
Thus, when the slot transPars
is not NULL
x@pars
will not be equal to get.pars(x)
.
get.cpar
Return the slot cpar
.
get.nopars
Return the slot nopars
.
set.cpar
Set or modify the value of the slot cpar
set.nopars
Set or modify the value of the slot nopars
.
set.pars
Set or modify the value of the slot pars
.
set.sgfc
Compute and set the value of the slot sgfc
.
set.xreg
Set or modify the value of the slot xreg
.
setValidity
Check the validity of the arguments passed to the function.
show
Show a brief summary of the object.
transPars
Transform the parameters of the model according to the parameterization
defined in the slot transPars
.
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