SSMarima: Create a State Space Model Object Arima of Class SSModel

In santoscs/nimcno: Estima Nucleo da Inflacao com Modelos de Componentes Nao Observados

Description

Adaptadacao da funcao SSMarima do package KFAS para permitir parametros regressivos diferentes entre as series

Usage

SSMarima(ar = NULL, ma = NULL, d = 0, Q, stationary = TRUE, index,
  n = 1, ynames)

Arguments

ar	a list of numeric vector containing the autoregressive coeffients.
ma	nao usado (sempre NULL).
d	a degree of differencing (nao usado, sempre 0)
Q	a p x p covariance matrix of the disturbances (or in the time varying case p x p x n array), where $p$ = length(index)
stationary	logical value indicating whether a stationarity of the arima part is assumed. Defaults to TRUE.
index	A vector indicating for which series the corresponding components are constructed.
n	Length of the series, only used internally for dimensionality check.
ynames	names of the times series, used internally.

Value

Object of class SSModel (ver SSModel)

santoscs/nimcno documentation built on May 29, 2019, 1:48 p.m.