noise: Extract Noise Component from Transfer Function Model

In tfarima: Transfer Function and ARIMA Models

Extract Noise Component from Transfer Function Model

Description

Computes the noise series (output minus fitted signal) from a transfer function model.

Usage

## S3 method for class 'ssm'
noise(mdl, diff = TRUE, exp = FALSE, ...)

noise(mdl, ...)

## S3 method for class 'tfm'
noise(mdl, y = NULL, diff = TRUE, exp = FALSE, envir = parent.frame(), ...)

Arguments

mdl	A tfm object.
diff	Logical. If TRUE (default), returns differenced noise series (stationary). If FALSE, returns noise in original scale.
exp	Logical. If TRUE, applies exponential transformation (inverse of log). Only relevant when diff = FALSE and Box-Cox transformation was used (bc = TRUE).
...	Additional arguments.
y	Optional ts object for alternative output series.
envir	Environment for evaluation. NULL uses calling environment.

Details

The noise represents the component of the output not explained by the transfer functions and exogenous regressors. When diff = TRUE, the differencing operator from the noise model is applied, resulting in a stationary series suitable for ARMA modeling.

Value

A ts object containing the noise series, computed as output minus all transfer function and regressor effects.

See Also

signal.tfm, residuals.tfm, tfm

tfarima documentation built on Nov. 5, 2025, 7:43 p.m.