pclsdf {pcts} | R Documentation |
Fit PAR models using least squares
Description
Fit PAR models using least squares. The model may contain intercepts and linear trends, seasonal or non-seasonal.
Usage
pclsdf(x, d, lags = integer(0), sintercept = TRUE, sslope = FALSE,
intercept = FALSE, slope = FALSE, xreg, contrasts = NULL,
seasonof1st = NULL, coefonly = FALSE)
Arguments
x |
time series, a numeric vector. |
d |
period, an integer. |
lags |
an integer vector, typically |
sintercept |
if TRUE include seasonal intercepts. |
sslope |
if TRUE include seasonal linear trend. |
intercept |
if TRUE include non-seasonal intercept. |
slope |
if TRUE include non-seasonal linear trend. |
xreg |
additional regressors, not used currently. |
contrasts |
contrasts to use for the seasons factor variable. |
seasonof1st |
season of the first observation in the time series, see Details. |
coefonly |
if TRUE, return only the parameters of the fitted
model, otherwise include also the object returned by |
Details
This function fits PAR models by the method of least squares. Seasonal intercepts are included by default. Non-seasonal intercepts are available, as well as seasonal and non-seasonal linear trend. Separate arguments are provided, so that any combination of seasonal and non-seasonal intercepts and slopes can be specified.
If coefonly
is TRUE, pclsdf
returns only the estimated
parameters, otherwise it includes additional statistical information,
see section Note for the current details.
Value
A list with the components listed below. Some components are present only if included in the model specification.
par |
the PAR coefficients, a matrix with a row for each season. |
sintercept |
(if specified) seasonal intercepts, a numeric vector. |
sigma2hat |
innovation variances. |
formula.char |
the formula used in the call of |
fit |
(if |
Note
Currently, pclsdf
prepares a model formula according to the
specification and calls lm
to do the fitting. Component "fit"
in the result (available when coefonly = FALSE
) contains the
raw fitted object returned by lm
. Statistical inference based
on this object would, in general, not be justified for correlated
data.
todo: currently some of the parameters are returned only via the
fitted object from lm
.
Author(s)
Georgi N. Boshnakov
See Also
Examples
## data(dataFranses1996)
cu <- pcts(dataFranses1996[ , "CanadaUnemployment"])
cu <- window(cu, start = availStart(cu), end = availEnd(cu))
pclsdf(cu, 4, 1:2, sintercept = TRUE)
pclsdf(austres, 4, lags = 1:3)
pclsdf(austres, 4, lags = 1:3, sintercept = TRUE)
pclsdf(austres, 4, lags = 1:3, sintercept = TRUE, sslope = TRUE)
x <- rep(1:4,10)
pclsdf(x, 4, lags = 1:3, sintercept = TRUE, sslope = TRUE)
## this is for the version when contrasts arg. was passed on directly to lm.
## tmp1 <- pclsdf(austres, 4, lags = 1, sintercept = FALSE, sslope = TRUE,
## contrasts = list(Season = "contr.sum" ))