pcdiff.piar1unit: Periodically differenced data when there is a single unit...

In YueyunZhu/UnitRootsofPIAR: Eliminate unit roots for periodically integrated autoregressive models

Description

Periodically differenced data when there is a single unit root in original data

Usage

pcdiff.piar1unit(pcts, parameters, d)

Arguments

pcts	the original time series (assumed there is a single unit root)
parameters	the parameters of first order differencing filter $(1-\alpha_sL)$
d	period

Details

The function provides the (periodic) stationary data. The original data is with a single unit root, and after imposing the filter $(1-\alpha_sL)$, the perioically differenced data can be derived.

Value

Periodically differenced data

Examples

library(pcts)
library(mcompanion)
set.seed(123)
F <- sim_mc(dim = 4, mo = 4, mo.col = 1, eigval = c(1), len.block = c(1))
phi <- new("MultiFilter", mc =  mCompanion(F$mat, mo = 4, mo.col = 1))
pc.sim <- sim_pc(model = list(phi = phi[], p = 1, period = 4), n = 500)
icoef <- piar1unit(Xsim = F$eigvec, d = 4, eigval = 1)
pcdiff.pc.sim <- pcdiff.piar1unit(pcts = pc.sim, parameters = icoef, d=4)

YueyunZhu/UnitRootsofPIAR documentation built on Feb. 13, 2020, 12:32 a.m.