pc.hat.h: function to compute estimates of the h weights

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

function to compute estimates of the h weights

Description

The h coefficients are scaled cross-covariances between the time series and the innovations. This function computes estimates for h using as input the observed series, a series of estimated innovations, and an estimate of the variance of the innovations.

Usage

pc.hat.h(x, eps, maxlag, si2hat)

Arguments

x	the observed time series x(t)
eps	a series of esimated innovations
maxlag	maximum lag
si2hat	estimate of the variance of the innovations

Details

If missing, the variance of the innovations is estimated from eps.

Value

A matrix of the coefficient up to lag maxlag with one row for each season.

Author(s)

Georgi N. Boshnakov

References

\insertRef

boshnakov1996pcarmapcts

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