PeriodicBJFilter-class: Class PeriodicBJFilter

In GeoBosh/pcts: Periodically Correlated and Periodically Integrated Time Series

Class PeriodicBJFilter

Description

A class for filters following the Box-Jenkins sign convention

Objects from the Class

Objects can be created by calls of the form new("PeriodicBJFilter", coef, order, ...).

Slots

coef:

Object of class "matrix" ~~

order:

Object of class "numeric" ~~

Extends

Class "PeriodicMonicFilterSpec", directly. Class "VirtualBJFilter", directly. Class "VirtualMonicFilterSpec", by class "PeriodicMonicFilterSpec", distance 2. Class "VirtualMonicFilter", by class "VirtualBJFilter", distance 2.

Methods

filterCoef

signature(object = "PeriodicBJFilter", convention = "character"): ...

coerce

signature(from = "matrix", to = "PeriodicBJFilter"): ...

coerce

signature(from = "PeriodicBJFilter", to = "PeriodicSPFilter"): ...

coerce

signature(from = "PeriodicSPFilter", to = "PeriodicBJFilter"): ...

filterPoly

signature(object = "PeriodicBJFilter"): ...

filterPolyCoef

signature(object = "PeriodicBJFilter"): ...

show

signature(object = "PeriodicBJFilter"): ...

Author(s)

Georgi N. Boshnakov

See Also

PeriodicSPFilter

filterCoef for more details on the generics

Examples

## a toy filter of order c(3, 3, 3, 3) and 4 seasons
co <- matrix(c(1, 1, 0,
               2, 2, 2,
               3, 0, 0,
               4, 4, 4), nrow = 4, ncol = 3)

## these are equivalent:
bj1 <- new("PeriodicBJFilter", coef = co)
bj1b <- new("PeriodicBJFilter", coef = co, order = 3)
bj1c <- new("PeriodicBJFilter", coef = co, order = c(3, 3, 3, 3))
identical(bj1b, bj1c) # TRUE
identical(bj1, bj1b) # FALSE but only because classbj1@order is "integer"

    
## a more refined spec. for the order:
show( new("PeriodicBJFilter", coef = co, order = c(2, 3, 1, 3)) )

## as()
show( as(co, "PeriodicBJFilter") )
show( as(co, "PeriodicSPFilter") )

## change the sign convention:
sp1 <- as(bj1, "PeriodicSPFilter")

## the two parameterisations have different signs:
bj1
sp1

## nevertheless, bj1 and sp1 represent the same filter
filterPoly(bj1)
filterPoly(sp1)
identical(filterPoly(bj1), filterPoly(sp1)) # TRUE

filterPolyCoef(bj1)
filterPolyCoef(sp1)
identical(filterPolyCoef(bj1), filterPolyCoef(sp1)) # TRUE

filterOrder(bj1)
nSeasons(bj1)

GeoBosh/pcts documentation built on Dec. 8, 2023, 9:57 p.m.