sigex.graph: Adds signal extraction estimates, with shaded bands, to an...

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Adds signal extraction estimates, with shaded bands, to an existing time series plot

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. 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.

Usage

sigex.graph(
  extract,
  reg = NULL,
  start.date,
  period,
  series,
  displace,
  color,
  fade
)

Arguments

extract	T x N matrix of the signal estimates, e.g. output of sigex.extract
reg	A T x N matrix of fixed effects, to be added to extraction. Note: only the column of reg corresponding to "series" is utilized. (To incorporate multiple reg effects, add these all up before hand.)
start.date	Date of first time obersvation; the format is c(year,season)
period	Number of seasons per year
series	Index of the particular series under consideration
displace	Gives a vertical shift to the plot
color	Given as a number in the range of colors()
fade	Gives shading proportion for uncertainty (NULL if none)

Value

NA

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