UCestim {UComp}

UCestim

Description

Estimates and forecasts UC models

Usage

UCestim(sys)

Arguments

sys

an object of type UComp created with UC

Details

UCestim estimates and forecasts a time series using an UC model. The optimization method is a BFGS quasi-Newton algorithm with a backtracking line search using Armijo conditions. Parameter names in output table are the following:

• Damping: Damping factor for DT trend.

• Level: Variance of level disturbance.

• Slope: Variance of slope disturbance.

• Rho(#): Damping factor of cycle #.

• Period(#): Estimated period of cycle #.

• Var(#): Variance of cycle #.

• Seas(#): Seasonal harmonic with period #.

• Irregular: Variance of irregular component.

• AR(#): AR parameter of lag #.

• MA(#): MA parameter of lag #.

• AO#: Additive outlier in observation #.

• LS#: Level shift outlier in observation #.

• SC#: Slope change outlier in observation #.

• Beta(#): Beta parameter of input #.

• Cnst: Constant.

Standard methods applicable to UComp objects are print, summary, plot, fitted, residuals, logLik, AIC, BIC, coef, predict, tsdiag.

Value

The same input object with the appropriate fields filled in, in particular:

• p: Estimated transformed parameters

• v: Estimated innovations (white noise in correctly specified models)

• yFor: Forecast values of output

• yForV: Forecasted values variance

• criteria: Value of criteria for estimated model

• covp: Covariance matrix of estimated transformed parameters

• grad: Gradient of log-likelihood at the optimum

• iter: Estimation iterations

Author(s)

Diego J. Pedregal

See Also

UC, UCmodel, UCvalidate, UCfilter, UCsmooth, UCdisturb, UCcomponents, UChp

Examples

## Not run: 
m1 <- UCsetup(log(AirPassengers))
m1 <- UCestim(m1)

## End(Not run)