Makes a UCARIMA model canonical; more specifically, put all the noise of the components in one dedicated component
Source:R/arima.R
ucarima_canonical.Rd
Makes a UCARIMA model canonical; more specifically, put all the noise of the components in one dedicated component
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
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)