TSFmodel: Construct a Time Series Factor Model

In tsfa: Time Series Factor Analysis

Description

The default method constructs a TSFmodel. Other methods extract a TSFmodel from an object.

Usage

    TSFmodel(obj, ...)
    ## Default S3 method:
TSFmodel(obj, f=NULL, Omega = NULL, Phi=NULL, LB = NULL, 
	 positive.data=FALSE, names=NULL, ...)
    ## S3 method for class 'TSFmodel'
TSFmodel(obj, ...)
    ## S3 method for class 'FAmodel'
TSFmodel(obj, f=NULL, positive.data=FALSE, names=NULL, ...)

Arguments

obj	The loadings matrix (B) in the default (constructor) method. In other methods, an object from which the model should be extracted.
f	matrix of factor series.
Omega	Covariance of the idiosyncratic term.
Phi	Covariance of the factors.
LB	Factor score coefficient matrix.

positive.data	logical indicating if any resulting negative values should be set to zero.
names	vector of strings indicating names to be given to output series.
...	arguments passed to other methods or stored in the object.

Details

The default method is the constructor for TSFmodel objects. Other methods extract a TSFmodel object from other objects that contain one. The loadings and the factors must be supplied to the default method. Omega, Phi, and LB are included when the object comes from an estimation method, but are not necessary when the object is being specified in order to simulate. The model is defined by

y(t) = B f(t) + eps(t),

where the factors f(t) have covariance Phi and eps(t) have covariance Omega. The loadings matrix B is M x k, where M is the number of indicator variables (the number of series in y) and k is the number of factor series.

The estimation method estTSF.ML returns a TSFmodel as part of a TSFestModel that has additional information about the estimation.

Value

A TSFmodel.

Author(s)

Paul Gilbert

See Also

simulate.TSFmodel, simulate, estTSF.ML

Examples

  f <- matrix(c(2+sin(pi/100:1),5+3*sin(2*pi/5*(100:1))),100,2)
  B <- t(matrix(c(0.9, 0.1,
		  0.8, 0.2,
		  0.7, 0.3,
                  0.5, 0.5, 
		  0.3, 0.7,
 		  0.1, 0.9), 2,6))

  z <- TSFmodel(B, f=f)
  tfplot(z)

Example output

Loading required package: GPArotation
Loading required package: dse
Loading required package: tfplot
Loading required package: tframe

Attaching package: 'dse'

The following objects are masked from 'package:stats':

    acf, simulate

Loading required package: EvalEst

tsfa documentation built on Jan. 13, 2021, 10:53 a.m.