sigex.delta: Compute differencing polynomial with factors omitted

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Compute differencing polynomial with factors omitted

Description

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. The differencing polynomial for x_t is the product of the components' polynomials, so long as they are relatively prime (this is assumed). Applying this product polynomial to x_t, the effect on a summand y_t is that it is differenced to stationary w_t, but a remainder polynomial acts on w_t as well, given by the product of all other polynomials.

Usage

sigex.delta(mdl, omits)

Arguments

mdl	The specified sigex model, a list object
omits	Indices of components that are to be omitted, when computing the product of differencing polynomials for the various components.

Value

Updated differencing polynomial, written in format c(delta0,delta1,...,deltad)

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.