Wiener Kolmogorov Estimators
Arguments
- ucm
An UCARIMA model returned by
ucarima_model().- cmp
Index of the component for which we want to compute the filter
- signal
TRUE for the signal (component), FALSE for the noise (complement)
- nspectrum
Number of points used to compute the (pseudo-) spectrum of the estimator
- nwk
Number of weights of the Wiener-Kolmogorov filter returned in the result
Value
A list with the (pseudo-)spectrum, the weights of the filter and the squared-gain function (with the same number of points as the spectrum)
Examples
mod1 <- arima_model("trend", delta = c(1, -2, 1))
mod2 <- arima_model("noise", var = 1600)
hp <- ucarima_model(components = list(mod1, mod2))
wk1 <- ucarima_wk(hp, 1, nwk = 50)
wk2 <- ucarima_wk(hp, 2)
plot(wk1$filter, type = "h")
