ucomp: Unobserved components

Description Usage Arguments Value Examples

Description

ucomp estimates the unobserved components of a time series (trend, seasonal, cycle, stationary and irregular) from the eventual forecast function.

Usage

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## S3 method for class 'tfm'
ucomp(
  mdl,
  y = NULL,
  method = c("mixed", "forecast", "backcast"),
  envir = envir,
  ...
)

ucomp(mdl, ...)

## S3 method for class 'um'
ucomp(
  mdl,
  z = NULL,
  method = c("mixed", "forecast", "backcast"),
  envir = NULL,
  ...
)

Arguments

mdl

an object of class um or tfm.

y

an object of class ts.

method

forward/backward forecasts or a mixture of the two.

envir

environment in which the function arguments are evaluated. If NULL the calling environment of this function will be used.

...

additional arguments.

z

an object of class ts.

Value

A matrix with the unobserved components.

Examples

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Z <- AirPassengers
um1 <- um(Z, i = list(1, c(1, 12)), ma = list(1, c(1, 12)), bc = TRUE)
uc <- ucomp(um1)

tfarima documentation built on May 30, 2021, 1:06 a.m.