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Methods 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. If convention is 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 convention is 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.

Author

Georgi N. Boshnakov

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

Examples

## see the examples for ?filterCoef