Creates an ARMA state block
Arguments
- period
Period of the seasonality
- phi
Regular stationary auto-regressive polynomial. True signs, without the constant
- d
Regular differencing order
- theta
Regular moving average polynomial. True signs, without the constant
- bphi
Seasonal stationary auto-regressive polynomial. True signs, without the constant
- bd
Seasonal differencing order
- btheta
Seasonal moving average polynomial. True signs, without the constant
Examples
sb<-.sarima(12, c(0.5, -.2, .1), 1, -.8, NULL, 1, -.6)
.ssf_P0(sb)
#> [,1] [,2] [,3] [,4] [,5] [,6] [,7]
#> [1,] 6.782682 0.9248620 5.5056857 1.7012053 4.7172655 2.4392295 4.0428506
#> [2,] 0.924862 0.8497241 0.8727282 0.7990715 0.7956514 0.8411756 0.7550106
#> [3,] 5.505686 0.8727282 4.9884139 1.4619377 4.1688412 2.0951351 3.5678053
#> [4,] 1.701205 0.7990715 1.4619377 1.3056431 1.2269771 1.2749696 1.1284220
#> [5,] 4.717266 0.7956514 4.1688412 1.2269771 3.9022676 1.7083031 3.2216779
#> [6,] 2.439230 0.8411756 2.0951351 1.2749696 1.7083031 1.7887389 1.4675199
#> [7,] 4.042851 0.7550106 3.5678053 1.1284220 3.2216779 1.4675199 3.0746630
#> [8,] 3.082117 0.8867729 2.6742441 1.3592397 2.2345110 1.7863212 1.8595398
#> [9,] 3.413152 0.6995364 3.0043024 1.0400676 2.6923847 1.3326155 2.4515239
#> [10,] 3.698525 0.9336636 3.2171240 1.4452450 2.7484225 1.9009694 2.3331752
#> [11,] 2.831319 0.6825765 2.4848210 0.9727701 2.2086680 1.2411167 1.9910775
#> [12,] 4.476893 1.1748691 3.9651310 1.7287002 3.4489954 2.2160574 3.0142038
#> [13,] 9.010809 1.7439547 7.6401189 2.7975278 6.6152826 3.7600406 5.7508796
#> [14,] 5.173208 1.8262722 4.5558026 2.2972164 3.9907986 2.8078232 3.5375420
#> [15,] 8.129612 1.6501641 7.3829972 2.5571028 6.2811950 3.4623211 5.4495379
#> [16,] 5.766262 1.7431323 4.9935646 2.7459003 4.2952514 3.1605784 3.8060719
#> [,8] [,9] [,10] [,11] [,12] [,13] [,14]
#> [1,] 3.0821168 3.4131515 3.6985253 2.8313187 4.476893 9.010809 5.173208
#> [2,] 0.8867729 0.6995364 0.9336636 0.6825765 1.174869 1.743955 1.826272
#> [3,] 2.6742441 3.0043024 3.2171240 2.4848210 3.965131 7.640119 4.555803
#> [4,] 1.3592397 1.0400676 1.4452450 0.9727701 1.728700 2.797528 2.297216
#> [5,] 2.2345110 2.6923847 2.7484225 2.2086680 3.448995 6.615283 3.990799
#> [6,] 1.7863212 1.3326155 1.9009694 1.2411167 2.216057 3.760041 2.807823
#> [7,] 1.8595398 2.4515239 2.3331752 1.9910775 3.014204 5.750880 3.537542
#> [8,] 2.3115300 1.5957432 2.3276908 1.4679430 2.662604 4.613191 3.278717
#> [9,] 1.5957432 2.3512967 1.9446185 1.7888244 2.592413 4.936098 3.087206
#> [10,] 2.3276908 1.9446185 2.8631418 1.6951597 3.093341 5.425909 3.735395
#> [11,] 1.4679430 1.7888244 1.6951597 1.7429864 2.223598 4.201721 2.703167
#> [12,] 2.6626039 2.5924129 3.0933406 2.2235975 3.838178 6.615085 4.586437
#> [13,] 4.6131914 4.9360980 5.4259091 4.2017205 6.615085 12.749898 7.834344
#> [14,] 3.2787172 3.0872061 3.7353953 2.7031669 4.586437 7.834344 5.899704
#> [15,] 4.2899816 4.6653584 5.0686723 3.9616168 6.238556 11.738322 7.349699
#> [16,] 3.6484075 3.3443218 4.1233502 2.9368206 4.995870 8.649684 6.205870
#> [,15] [,16]
#> [1,] 8.129612 5.766262
#> [2,] 1.650164 1.743132
#> [3,] 7.382997 4.993565
#> [4,] 2.557103 2.745900
#> [5,] 6.281195 4.295251
#> [6,] 3.462321 3.160578
#> [7,] 5.449538 3.806072
#> [8,] 4.289982 3.648407
#> [9,] 4.665358 3.344322
#> [10,] 5.068672 4.123350
#> [11,] 3.961617 2.936821
#> [12,] 6.238556 4.995870
#> [13,] 11.738322 8.649684
#> [14,] 7.349699 6.205870
#> [15,] 11.283457 8.038250
#> [16,] 8.038250 7.026719