wkfilter: Wiener-Kolmogorov filter

In gallegoj/tfarima: Transfer Function and ARIMA Models

Wiener-Kolmogorov filter

Description

wkfilter extracts a signal for a time series.

Usage

wkfilter(um.z, ...)

## S3 method for class 'um'
wkfilter(um.z, um.uc, z = NULL, envir = parent.frame(), ...)

Arguments

um.z	an object of class um.
...	additional arguments.
z	optional, time series.
envir	environment.
um.z, um.uc	ARIMA models for the observed time series and the unobserved component.

Value

An object of class wkfilter.

Examples

um1 <- um(AirPassengers, bc = T, i = list(1, c(1,12)), ma = list(1, c(1,12)))
msx1 <- msx(um1, i = "(1-B)2")
trend <- wkfilter(um1, msx1$signal1)
seas <- wkfilter(um1, msx1$signal2)

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