stsm_fixed_pars {autostsm}R Documentation

Fixed parameter setting

Description

Fixed parameter setting

Usage

stsm_fixed_pars(
  par,
  y,
  det_obs = FALSE,
  det_trend = FALSE,
  det_drift = FALSE,
  det_cycle = FALSE,
  det_seas = FALSE,
  saturating_growth = FALSE,
  exo = NULL
)

Arguments

par

Initial parameters

y

Vector of univariate time series

det_obs

Set the observation equation error variance to 0 (deterministic observation equation) If det_obs = TRUE then the error variance of the observation equation (sig_e) is set to 0

det_trend

Set the trend error variance to 0 (deterministic trend) If det_trend = TRUE then the error variance of the trend equation (sig_t) is set to 0 and is referred to as a smooth trend

det_drift

Set the drift error variance to 0 (deterministic drift) If det_drift = TRUE then the error variance of the drift equation (sig_d) is set to 0 and is refereed to as a deterministic drift

det_cycle

Set the cycle error variance to 0 (deterministic cycle) If det_cycle = TRUE then the error variance of the cycle equation (sig_c) is set to 0 and is referred to as a deterministic cycle

det_seas

Set the seasonality error variances to 0 (deterministic seasonality) If det_seas = TRUE then the error variance all seasonality frequency j equations (sig_s) are set to 0 and is referred to as deterministic seasonality

saturating_growth

Force the growth rate to converge to 0 in the long term

exo

Matrix of exogenous variables. Can be used to specify regression effects or other seasonal effects like holidays, etc.


[Package autostsm version 2.0 Index]