tfm1 {MTS}

Transfer Function Model with One Input

Description

Estimation of a general transfer function model. The model can only handle one input and one output.

Usage

tfm1(y, x, orderN, orderX)

Arguments

y

Data vector of dependent variable

x

Data vector of input (or independent) variable

orderN

Order (p,d,q) of the disturbance component

orderX

Order (r,s,b) of the transfer function model, where r and s are the degrees of denominator and numerator polynomials and b is the delay

Details

Perform estimation of a general transfer function model

Value

estimate

Coefficient estimates

sigma2

Residual variance sigma-square

residuals

Residual series

varcoef

Variance of the estimates

Nt

The disturbance series

Author(s)

Ruey S. Tsay

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

See Also

tfm

Examples

##da=read.table("gasfur.txt")
##y=da[,2]; x=da[,1]
##m1=tfm1(y,x,orderX=c(1,2,3),orderN=c(2,0,0))