Estimate UCARIMA Model — ucarima_estimate • rjd3toolkit

Estimate UCARIMA Model

Usage

ucarima_estimate(x, ucm, stdev = TRUE)

Arguments

x: Univariate time series
ucm: An UCARIMA model returned by ucarima_model().
stdev: TRUE if standard deviation of the components are computed

Value

A matrix containing the different components and their standard deviations if stdev is TRUE.

Examples

mod1 <- arima_model("trend", delta = c(1,-2,1))
mod2 <- arima_model("noise", var = 16)
hp <- ucarima_model(components=list(mod1, mod2))
s <- log(aggregate(retail$AutomobileDealers))
all <- ucarima_estimate(s, hp, stdev=TRUE)
plot(s, type = 'l')
t <- ts(all[,1], frequency = frequency(s), start = start(s))
lines(t, col='blue')