R: Unobserved components methods for a time series

ucm {rucm}

R Documentation

Unobserved components methods for a time series

Description

Function ucm decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series using Unobserved Components Model (UCM).

Usage

ucm(formula, data, irregular = TRUE, irregular.var = NA, level = TRUE,
  level.var = NA, slope = FALSE, slope.var = NA, season = FALSE,
  season.length = NA, season.var = NA, cycle = FALSE, cycle.period = NA,
  cycle.var = NA)

Arguments

`formula`	an object of class `formula` containing the symbolic description of the model with dependent and independent terms. If there are no independent terms, replace rhs with 0.
`data`	a required data frame or list containing variables in the model.
`irregular`	logical; if irregular component is to be included in the model. Defaults to `TRUE`.
`irregular.var`	value to fix variance of irregular component.
`level`	logical; if level is to be included in the model. Defaults to `TRUE`.
`level.var`	value to fix variance of level component.
`slope`	logical; if slope is to be included in the model along with level. Defaults to `FALSE`.
`slope.var`	value to fix variance of the slope component.
`season`	logical; if seasonal component is to be included in the model. Defaults to `FALSE`.
`season.length`	value of length of seasonal component. Required when `season` is included.
`season.var`	value to fix variance of seasonal component.
`cycle`	logical; if cyclical component is to be included in the model. Defaults to `FALSE`.
`cycle.period`	length of cyclical component. Required when `cycle` is included.
`cycle.var`	value to fix variance of cyclical component.

Details

Formula of the model can be of the forma as in lm with response variable on rhs and predictor variables or 0 (if no predictor variables) on the rhs.

Value

object of class ucm, which is a list with the following components:

`est`	Estimates of predictor variables, if present.
`irr.var`	Estimated variance of irregular component, if present.
`est.var.level`	Estimated variance of the level component, if present.
`est.var.slope`	Estimated variance of slope of the level, if present.
`est.var.season`	Estimated variance of the seasonal component, if present.
`est.var.cycle`	Estimated variance of the cyclical component, if present.
`s.level`	An object of the same class as of dependent variable containing the time varying level values, if level is present.
`s.lope`	An object of the same class as of dependent variable containing the time varying slope values, if slope is present.
`s.season`	An object of the same class as of dependent variable containing the time varying seasonal values, if season is present.
`s.cycle`	An object of the same class as of dependent variable containing the time varying cyclical values, if cycle is present.
`vs.level`	A vector containing time varying estimated variance of level, if level is present.
`vs.slope`	A vector containing time varying estimated variance of slope, if slope is present.
`vs.season`	A vector containing time varying estimated variance of seasonal component, if season is present.
`vs.cycle`	A vector containing time varying estimated variance of cyclical component, if cycle is present.
`call`	Original call of the function.
`model`	The original model of class `SSModel` from `KFAS` package.

Examples

modelNile <- ucm(Nile~0, data = Nile, slope = TRUE)
modelNile
modelNile$s.level

[Package rucm version 0.6 Index]