tvvar {TSSS} | R Documentation |
Time Varying Variance
Description
Estimate time-varying variance.
Usage
tvvar(y, trend.order, tau2.ini = NULL, delta, plot = TRUE, ...)
Arguments
y |
a univariate time series. |
trend.order |
trend order. |
tau2.ini |
initial estimate of variance of the system noise |
delta |
search width. |
plot |
logical. If |
... |
graphical arguments passed to the |
Details
Assuming that \sigma_{2m-1}^2 = \sigma_{2m}^2
, we define a transformed time series
s_1,\dots,s_{N/2}
by
s_m = y_{2m-1}^2 + y_{2m}^2,
where y_n
is a Gaussian white noise with mean 0
and variance
\sigma_n^2
. s_m
is distributed as a \chi^2
distribution with
2
degrees of freedom, so the probability density function of s_m
is given by
f(s) = \frac{1}{2\sigma^2} e^{-s/2\sigma^2}.
By further transformation
z_m = \log \left( \frac{s_m}{2} \right),
the probability density function of z_m
is given by
g(z) = \frac{1}{\sigma^2} \exp{ \left\{ z-\frac{e^z}{\sigma^2} \right\} } = \exp{ \left\{ (z-\log\sigma^2) - e^{(z-\log\sigma^2)} \right\} }.
Therefore, the transformed time series is given by
z_m = \log \sigma^2 + w_m,
where w_m
is a double exponential distribution with probability density
function
h(w) = \exp{\{w-e^w\}}.
In the space state model
z_m = t_m + w_m
by identifying trend components of z_m
, the log variance of original
time series y_n
is obtained.
Value
An object of class "tvvar"
which has a plot
method. This is a
list with the following components:
tvv |
time varying variance. |
nordata |
normalized data. |
sm |
transformed data. |
trend |
trend. |
noise |
residuals. |
tau2 |
variance of the system noise. |
sigma2 |
variance of the observational noise. |
llkhood |
log-likelihood of the model. |
aic |
AIC. |
tsname |
the name of the univariate time series |
References
Kitagawa, G. (2020) Introduction to Time Series Modeling with Applications in R. Chapman & Hall/CRC.
Kitagawa, G. and Gersch, W. (1996) Smoothness Priors Analysis of Time Series. Lecture Notes in Statistics, No.116, Springer-Verlag.
Kitagawa, G. and Gersch, W. (1985) A smoothness priors time varying AR coefficient modeling of nonstationary time series. IEEE trans. on Automatic Control, AC-30, 48-56.
Examples
# seismic data
data(MYE1F)
tvvar(MYE1F, trend.order = 2, tau2.ini = 6.6e-06, delta = 1.0e-06)