Makes a UCARIMA model canonical; more specifically, put all the noise of the components in one dedicated component

Makes a UCARIMA model canonical; more specifically, put all the noise of the components in one dedicated component

Usage

ucarima_canonical(ucm, cmp = 0, adjust = TRUE)

Arguments

ucm

An UCARIMA model returned by ucarima_model().

cmp

Index of the component that will contain the noises; 0 if a new component with all the noises will be added to the model

adjust

If TRUE, some noise could be added to the model to ensure that all the components has positive (pseudo-)spectrum

Value

A new UCARIMA model

Examples

mod1 <- arima_model("trend", delta = c(1,-2,1))
mod2 <- arima_model("noise", var = 1600)
hp <- ucarima_model(components=list(mod1, mod2))
hpc <- ucarima_canonical(hp, cmp=2)