fit2autocov: Estimation of a STS model by the method of moments

In tfarima: Transfer Function and ARIMA Models

Estimation of a STS model by the method of moments

Description

fit2autocov fits a STS model to a vector of theoretical autocovariances.

Usage

fit2autocov(mdl, ...)

## S3 method for class 'stsm'
fit2autocov(mdl, g, method = "BFGS", show.iter = FALSE, ...)

Arguments

mdl	an object of class stsm.
...	other arguments.
g	a vector of theoretical autocovariances (gamma[k], k= 0, ..., K).
method	optimation method.
show.iter	logical. If TRUE, estimates at each iteration are printed.

Value

An object of class stsm.

Examples

um1 <- um(Nile, i = 1, ma = 1)
g <- autocov(um1, lag.max = 1)
# Local level model
b <- 1
C <- as.matrix(1)
stsm1 <- stsm(Nile, b, C, s2v = c(lvl = 0.5), s2u = c(irr = 1), fit = FALSE)
stsm2 <- fit2autocov(stsm1, g)
stsm2

tfarima documentation built on May 20, 2022, 5:06 p.m.