sigex.delta | R Documentation |
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.
sigex.delta(mdl, omits)
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. |
Updated differencing polynomial, written in format c(delta0,delta1,...,deltad)
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