wkfilter: Wiener-Kolmogorov filter

In tfarima: Transfer Function and ARIMA Models

Wiener-Kolmogorov filter

Description

wkfilter extracts a signal for a time series described by an ARIMA model given the ARIMA model for the signal.

Usage

## S3 method for class 'as_ucarima'
wkfilter(object, z = NULL, tol = 1e-05, envir = parent.frame(), ...)

wkfilter(object, ...)

## S3 method for class 'um'
wkfilter(
  object,
  um.uc,
  z = NULL,
  output = c("series", "filter"),
  tol = 1e-05,
  envir = parent.frame(),
  ...
)

Arguments

object	an object of class um.
z	an optional ts object. If NULL, the time series to be filtered is contained in the um.z object.
tol	numeric tolerance used in polynomial divisions. Default is 1e-5.
envir	environment to get z when not provided.
...	additional arguments.
um.uc	ARIMA models for the observed time series and the unobserved component (signal).
output	character, output of the function: '"series"' (default) returns the filtered time series, or '"filter"' returns the filter coefficients.

Value

An object of class ts containing the estimated signal.

Examples

um1 <- airline(AirPassengers, bc = TRUE)
uca1 <- as.ucarima(um1, i = "(1-B)2")
trend <- wkfilter(um1, uca1$ucm$signal1)
seas <- wkfilter(um1, uca1$ucm$signal2)

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