uc: Unobservable components

In tfarima: Transfer Function and ARIMA Models

Unobservable components

Description

uc creates an S3 object representing a predefined UC (trend, seasonal, cycle, autoregressive and irregular component).

Usage

uc(
  type,
  s2 = NULL,
  s = 12,
  form = c("trig", "dummy"),
  per = 5,
  phi = 0.9,
  counter = 1
)

Arguments

type	character. The type of component: trend, seasonal, cycle, AR or irregular.
s2	vector with the variances of the errors driving the UC.
s	integer. Seasonal period for seasonal components.
form	character. The form of the seasonal component (trigonometric or dummy seasonality).
per	numeric. The period of the cycle component.
phi	numeric. The damping factor of the cycle component.
counter	integer. Counter for numbering phi cycle parameters.

Value

An object of class uc.

References

Durbin, J. and Koopman, S.J. (2012) Time Series Analysis by State Space Methods, 2nd ed., Oxford University Press, Oxford.

Harvey, A.C. (1989) Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, Cambridge.

Examples

# Trend component
trend <- uc("trend", s2 = c(s2_lvl = 0.5, s2_slp = 0.025))
# Seasonal component
seas <- uc("seasonal", s2 = c(s2_seas = 0.5), s = 12, form = "trig")
# Cycle component
cycle1 <- uc("cycle", s2 = c(s2_c1 = 0.5), per = 5, phi = 0.8)
cycle2 <- uc("cycle", s2 = c(s2_c2 = 0.5), per = 10, phi = 0.8, counter = 2)

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