sigex.getfrf <- function(data.ts,param,mdl,sigcomps,plotit=TRUE,grid)
{
##########################################################################
#
# sigex.getfrf
# Copyright (C) 2017 Tucker McElroy
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
#
############################################################################
################# Documentation ############################################
#
# Purpose: computes frf for desired signal and plots it
# Background:
# A sigex model consists of process x = sum y, for
# stochastic components y. Each component process y_t
# is either stationary or is reduced to stationarity by
# application of a differencing polynomial delta(B), i.e.
# w_t = delta(B) y_t is stationary.
# We have a model for each w_t process, and can compute its
# autocovariance function (acf), and denote its autocovariance
# generating function (acgf) via gamma_w (B).
# The signal extraction filter for y_t is determined from
# this acgf and delta.
# param is the name for the model parameters entered into
# a list object with a more intuitive structure, whereas
# psi refers to a vector of real numbers containing all
# hyper-parameters (i.e., reals mapped bijectively to the parameter manifold)
# Notes: take grid >> len, else numerical issues arise
# Inputs:
# data.ts: a T x N matrix ts object
# param: see background. Must have form specified by mdl
# mdl: the specified sigex model, a list object
# sigcomps: indices of the latent components composing the signal
# plotit: boolean flag for whether frf should be plotted;
# only plots if N <= 3
# grid: desired number of frequencies for spectrum calculations
# Outputs:
# frf.comp: array of dimension c(N,N,grid), with complex number entries
# Requires: sigex.frf
#
####################################################################
x <- t(data.ts)
N <- dim(x)[1]
frf.comp <- sigex.frf(data.ts,param,mdl,sigcomps,grid)
if(plotit && (N <= 4)) {
par(mfrow = c(N,N))
for(i in 1:N)
{
for(j in 1:N)
{
plot(ts(Re(frf.comp[i,j,]),start=0,frequency=grid),
xlab="Cycles",ylab="")
}
} }
return(frf.comp)
}
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