filterCoef-methods | R Documentation |
Methods for filterCoef
in package sarima.
filterCoef()
returns the coefficients of object
. The
format of the result depends on the type of filter, see the
descriptions of the individual methods below.
If argument convention
is omitted, the sign convention for the
coefficients is the one used in the object. convention
can be
set to "BJ" or "SP" to request, respectively, the Box-Jenkins or the
signal processing convention. Also, "-" is equivalent to "BJ" and "+"
to "SP".
For ARMA filters, "BJ" and "SP" request the corresponding convention
for both parts (AR and MA). A widely used convention, e.g., by base R
and \insertCiteBrockwellDavis1991sarima, is "BJ" for the AR part
and "SP" for the MA part. It can be requested with convention =
"BD"
. For convenience, "–" is equivalent to "BJ", "++" to "SP",
"-+" to "BD". For completeness, "+-" can be used to request "SP" for
the AR part and "BJ" for the MA part.
Invalid values of convention
throw error. In particular, low
level filters, such as "BJFilter" don't know if they are AR or MA, so
they throw error if convention
is "BD" or "+-" (but "++" and
"–" are ok, since they are unambiguous). Similarly and to avoid
subtle errors, the ARMA filters do not accept "+" or "-".
signature(object = "VirtualMonicFilterSpec", convention = "missing")
returns object@coef
.
signature(object = "VirtualBJFilter", convention = "character")
returns the filter coefficients in the requested convention.
signature(object = "VirtualSPFilter", convention = "character")
returns the filter coefficients in the requested convention.
signature(object = "BJFilter", convention = "character")
returns the filter coefficients in the requested convention.
signature(object = "SPFilter", convention = "character")
returns the filter coefficients in the requested convention.
signature(object = "VirtualArmaFilter", convention = "missing")
signature(object = "VirtualArmaFilter", convention = "character")
Conceptually, calls filterCoef()
, with one argument, on the
AR and MA parts of the model. If convention
is present,
converts the result to the specified convention. Returns a list
with the following components:
AR coefficients.
MA coefficients.
signature(object = "SarimaFilter", convention = "missing")
signature(object = "SarimaFilter", convention = "character")
If convention
is present, converts the coefficients to the
specified convention. AR-like coefficients get the convention for
the AR part, Ma-like coefficients get the convention for the MA
part. Returns a list with the following components:
number of seasons.
integration order, number of (non-seasonal) differences.
seasonal integration order, number of seasonal differences.
ar coefficients.
ma coefficients.
seasonal ar coefficients.
seasonal ma coefficients.
Georgi N. Boshnakov
filterCoef
for examples and related functions
## see the examples for ?filterCoef
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