sigex.wkextract: Computes signal extractions and MSE via WK method

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes signal extractions and MSE via WK method

Description

Computes signal extractions and MSE via WK method

Usage

sigex.wkextract(
  psi,
  mdl,
  data.ts,
  sigcomps,
  target,
  grid,
  window,
  horizon,
  needMSE
)

Arguments

psi	A vector of all the real hyper-parameters
mdl	The specified sigex model, a list object
data.ts	A T x N matrix ts object; any values to be imputed must be encoded with NA in that entry. The NA is for missing value, or an enforced imputation (e.g. extreme-value adjustment).
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))
grid	Desired number of frequencies for spectrum calculations
window	Max index of the WK filter coefficients
horizon	A positive integer indicating how many forecasts and aftcasts of the signal should be generated
needMSE	A binary flag, set to 1 if you want MSE based on casting error, or if there are any missing values; else (with value 0) the routine runs faster and returns only WK portion of MSE.

Value

list object of extract.sig, upp, and low extract.sig: (T+H) x N matrix of the signal estimates, where H is twice the length of horizon upp: as extract.sig, plus twice the standard error low: as extract.sig, minus twice the standard error

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