sform: Structural form for an ARIMA model

In gallegoj/tfarima: Transfer Function and ARIMA Models

Structural form for an ARIMA model

Description

sform finds the structural form for an ARIMA model from its the eventual forecast function.

Usage

sform(mdl, ...)

## S3 method for class 'um'
sform(
  mdl,
  z = NULL,
  msoe = TRUE,
  index = NULL,
  nnls = NULL,
  cform = TRUE,
  tol = 1.490116e-08,
  envir = NULL,
  ...
)

Arguments

mdl	an object of class um.
...	other arguments.
z	an optional time series.
msoe	logical, TRUE for multiple source of errors and FALSE for single source of error.
index	an optional vector of integers both to group common variances or to fix some variances to zero.
cform	logical. TRUE for contemporaneous form and FALSE for future form.
tol	tolerance to check if the elements of b and C are zero.
envir	environment, see "um".

Value

An object of class stsm

Examples

airl <- um(i = list(1, c(1, 12)), ma = "(1 - 0.8B)(1 - 0.8B12)")
sf <- sform(airl, index = c(1, 0, rep(2, 11)))
sf

gallegoj/tfarima documentation built on March 31, 2024, 10:32 a.m.