constCycle: Constant cycle component

In dajmcdon/myFKF: Fast Kalman Filtering and Smoothing

Description

Constant cycle component

Usage

constCycle(parmlist)

Arguments

parmlist

A list of parameters as generated by parmList.

Details

This function generates state space model matrices related to an a constant cyclic component. Such a specification is usually more slowly varying than a seasonal component, say for a yearly cycle with daily data. The model has the form:

y(t) = c(t) + extra stuff

where

c(t) = c_1 * cos(lam*t) + c_2 * sin(lam*t)

with lam=2π/period and t simply being the times at which the observations occurred.

Note that this really is no more than a time varying intercept in the observation equation. For a particular period (parmlist$period), this function produces the appropriate model matrices above.

Value

A vector ct of the same length as the data yt.

dajmcdon/myFKF documentation built on May 3, 2019, 5:16 p.m.