sigex.wk: Computes signal extraction filter coefficients and MSE

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes signal extraction filter coefficients and MSE

Description

Computes signal extraction filter coefficients and MSE

Usage

sigex.wk(data.ts, param, mdl, sigcomps, target, plotit = TRUE, grid, len)

Arguments

data.ts	A T x N matrix ts object
param	model parameters entered into a list object with an intuitive structure.
mdl	The specified sigex model, a list object
sigcomps	Indices of the latent components composing the signal S_t
target	Array of dimension c(N,N,p+1) for degree p matrix polynomial phi (B) such that target signal is phi (B) S_t. normal usage is target <- array(diag(N),c(N,N,1))
plotit	Binary flag to indicate whether plots should be generated; only gives output if N <= 3
grid	Desired number of frequencies for spectrum calculations
len	Max index of the filter coefficients

Value

list object of psi.wk and mse.wksig psi.wk: array of dimension c(N,N,2*len+1), of real number entries, where the third dimension indexes coefficients from -len,...,0,...,len mse.wksig: N x N matrix of signal extraction mean squared error

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