ucomp: Unobserved components

In gallegoj/tfarima: Transfer Function and ARIMA Models

Unobserved components

Description

ucomp estimates the unobserved components of a time series (trend, seasonal, cycle, stationary and irregular) from the eventual forecast function.

Usage

## S3 method for class 'tfm'
ucomp(
  mdl,
  y = NULL,
  method = c("mixed", "forecast", "backcast"),
  envir = NULL,
  ...
)

ucomp(mdl, ...)

## S3 method for class 'um'
ucomp(
  mdl,
  z = NULL,
  method = c("msx", "msx0", "mixed", "forecast", "backcast"),
  envir = parent.frame(),
  ...
)

Arguments

mdl	an object of class um or tfm.
y	an object of class ts.
method	forward/backward forecasts or a mixture of the two.
envir	environment in which the function arguments are evaluated. If NULL the calling environment of this function will be used.
...	additional arguments.
z	an object of class ts.

Value

A matrix with the unobserved components.

Examples

Z <- AirPassengers
um1 <- um(Z, i = list(1, c(1, 12)), ma = list(1, c(1, 12)), bc = TRUE)
uc <- ucomp(um1)

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