lagpol: Lag polynomials

In tfarima: Transfer Function and ARIMA Models

Lag polynomials

Description

lagpol creates a lag polynomial of the form (1 - coef_1 B^s - ... - coef_d B^sd)^p. This class of lag polynomials is defined by a vector of d coefficients c(coef_1, ..., coef_d), the powers s and p, and a vector of k parameters c(param_1, ..., param_k). The vector c(coef_1, ..., coef_d) is actually a vector of math expressions to compute the value of each coefficient in terms of the parameters.

Usage

lagpol(param = NULL, s = 1, p = 1, lags = NULL, coef = NULL)

Arguments

param	a vector/list of named parameters.
s	the seasonal period, integer.
p	the power of lag polynomial, integer.
lags	a vector of lags for sparse polynomials.
coef	a vector of math expressions.

Value

lagpol returns an object of class "lagpol" with the following components:

coef

Vector of coefficients c(coef_1, ..., coef_p) provided to create the lag polynomial.

pol

Base lag polynomial, c(1, -coef_1, ..., -coef_d).

Pol

Power lag polynomial when p > 1.

Examples

lagpol(param = c(phi = 0.8) )
lagpol(param = c(phi1 = 1.2, phi2 = -0.6), s = 4)
lagpol(param = c(delta = 1), p = 2)

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