coef.far {far} | R Documentation |
Extract Model Coefficients
Description
'coef' method to extract the linear operator of a FAR model.
Usage
## S3 method for class 'far'
coef(object, ...)
Arguments
object |
An object of type |
... |
Other arguments (not used in this case). |
Details
Give the matricial representation of the linear operator express in
the canonical basis. See far
for more details about the
meaning of this operator.
If the far
model is used on a one dimensional variable or with
the joined=TRUE
option, then the matrix has a dimension equal
to the subspace dimension.
In the other case, the dimension of the matrix is equal to the sum of
the dimensions of the various subspaces. In such a case, the order of
the variables in the matrix is the same as in the vector
c(y,x)
. For instance, if kn=c(3,2)
with y="Var1"
and x="Var3"
then:
The first 3x3 first bloc of the matrix is the autocorrelation of “Var1”.
The 3x2 up right bloc of the matrix is the correlation of “Var3” on “Var1”.
The 2x3 down left bloc of the matrix is the correlation of “Var1” on “Var3”.
The 2x2 down right bloc of the matrix is the autocorrelation of “Var3”.
Value
A square matrix of size (raw and column) equal to the sum of the
element of kn
.
Author(s)
J. Damon, S. Guillas
See Also
Examples
# Simulation of a FARX process
data1 <- simul.farx(m=10,n=400,base=base.simul.far(20,5),
base.exo=base.simul.far(20,5),
d.a=matrix(c(0.5,0),nrow=1,ncol=2),
alpha.conj=matrix(c(0.2,0),nrow=1,ncol=2),
d.rho=diag(c(0.45,0.90,0.34,0.45)),
alpha=diag(c(0.5,0.23,0.018)),
d.rho.exo=diag(c(0.45,0.90,0.34,0.45)),
cst1=0.0)
# Modelization of the FARX process (joined and separate)
model1 <- far(data1,kn=4,joined=TRUE)
model2 <- far(data1,kn=c(3,1),joined=FALSE)
# Calculation of the theoretical coefficients
coef.theo <- theoretical.coef(m=10,base=base.simul.far(20,5),
base.exo=base.simul.far(20,5),
d.a=matrix(c(0.5,0),nrow=1,ncol=2),
alpha.conj=matrix(c(0.2,0),nrow=1,ncol=2),
d.rho=diag(c(0.45,0.90,0.34,0.45)),
alpha=diag(c(0.5,0.23,0.018)),
d.rho.exo=diag(c(0.45,0.90,0.34,0.45)),
cst1=0.0)
# Joined coefficient
round(coef(model1),2)
coef.theo$rho.T
# Separate coefficient
round(coef(model2),2)
coef.theo$rho.X.Z