tfest: Helper function to create a tf object

In tfarima: Transfer Function and ARIMA Models

Helper function to create a tf object

Description

tfest estimates the transfer function

V(B) = w_0 * (theta(B)/phi(B)) * B^d

that relates the input X_t to the output Y_t.

Usage

tfest(
  y,
  x,
  delay = 0,
  p = 1,
  q = 2,
  um.y = NULL,
  um.x = NULL,
  n.back = NULL,
  par.prefix = "",
  envir = envir <- parent.frame()
)

Arguments

y	Output series, a ts object or numeric vector.
x	Input series, a ts object or numeric vector.
delay	Integer. Number of periods delay (default 0).
p	Integer. Order of the AR polynomial (default 1).
q	Integer. Order of the MA polynomial (default 2).
um.y	Univariate model for output series, um object or NULL.
um.x	Univariate model for input series, um object or NULL.
n.back	Integer. Number of backcasts to compute.
par.prefix	Character. Prefix for parameter names.
envir	Environment for evaluating arguments. If NULL, uses calling environment.

Details

Uses prewhitening to estimate initial parameter values.

Value

An object of class tf containing preestimated transfer function parameters.

Examples

data(seriesJ)
Y <- seriesJ$Y - mean(seriesJ$Y)
X <- seriesJ$X - mean(seriesJ$X)
umx <- um(X, ar = 3)
umy <- fit(umx, Y)
tfx <- tfest(Y, X, delay = 3, p = 2, q = 2, um.x = umx, um.y = umy)

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