Methods for filterCoef()
filterCoef-methods.RdMethods for filterCoef in package sarima.
Methods
filterCoef() returns the coefficients of object. The
format of the result depends on the type of filter, see the
descriptions of the individual methods below.
If argument convention is omitted, the sign convention for the
coefficients is the one used in the object. convention can be
set to "BJ" or "SP" to request, respectively, the Box-Jenkins or the
signal processing convention. Also, "-" is equivalent to "BJ" and "+"
to "SP".
For ARMA filters, "BJ" and "SP" request the corresponding convention
for both parts (AR and MA). A widely used convention, e.g., by base R
and (Brockwell and Davis 1991)
, is "BJ" for the AR part
and "SP" for the MA part. It can be requested with convention =
"BD". For convenience, "--" is equivalent to "BJ", "++" to "SP",
"-+" to "BD". For completeness, "+-" can be used to request "SP" for
the AR part and "BJ" for the MA part.
Invalid values of convention throw error. In particular, low
level filters, such as "BJFilter" don't know if they are AR or MA, so
they throw error if convention is "BD" or "+-" (but "++" and
"--" are ok, since they are unambiguous). Similarly and to avoid
subtle errors, the ARMA filters do not accept "+" or "-".
signature(object = "VirtualMonicFilterSpec", convention = "missing")returns
object@coef.signature(object = "VirtualBJFilter", convention = "character")returns the filter coefficients in the requested convention.
signature(object = "VirtualSPFilter", convention = "character")returns the filter coefficients in the requested convention.
signature(object = "BJFilter", convention = "character")returns the filter coefficients in the requested convention.
signature(object = "SPFilter", convention = "character")returns the filter coefficients in the requested convention.
signature(object = "VirtualArmaFilter", convention = "missing")signature(object = "VirtualArmaFilter", convention = "character")Conceptually, calls
filterCoef(), with one argument, on the AR and MA parts of the model. Ifconventionis present, converts the result to the specified convention. Returns a list with the following components:- ar
AR coefficients.
- ma
MA coefficients.
signature(object = "SarimaFilter", convention = "missing")signature(object = "SarimaFilter", convention = "character")If
conventionis present, converts the coefficients to the specified convention. AR-like coefficients get the convention for the AR part, Ma-like coefficients get the convention for the MA part. Returns a list with the following components:- nseasons
number of seasons.
- iorder
integration order, number of (non-seasonal) differences.
- siorder
seasonal integration order, number of seasonal differences.
- ar
ar coefficients.
- ma
ma coefficients.
- sar
seasonal ar coefficients.
- sma
seasonal ma coefficients.
References
Brockwell PJ, Davis RA (1991). Time series: theory and methods. 2nd ed.. Springer Series in Statistics. Berlin etc.: Springer-Verlag..
See also
filterCoef for examples and related functions