lagpol {tfarima} | R Documentation |
Lag polynomials
Description
lagpol
creates a lag polynomial of the form (1 - coef_1 B^s - ...
- coef_d B^sd)^p
. This class of lag polynomials is defined by a vector of d
coefficients c(coef_1, ..., coef_d), the powers s and p, and a vector of k
parameters c(param_1, ..., param_k). The vector c(coef_1, ..., coef_d) is
actually a vector of math expressions to compute the value of each
coefficient in terms of the parameters.
Usage
lagpol(param = NULL, s = 1, p = 1, lags = NULL, coef = NULL)
Arguments
param |
a vector/list of named parameters. |
s |
the seasonal period, integer. |
p |
the power of lag polynomial, integer. |
lags |
a vector of lags for sparse polynomials. |
coef |
a vector of math expressions. |
Value
lagpol
returns an object of class "lagpol" with the following
components:
- coef
Vector of coefficients c(coef_1, ..., coef_p) provided to create the lag polynomial.
- pol
Base lag polynomial, c(1, -coef_1, ..., -coef_d).
- Pol
Power lag polynomial when p > 1.
Examples
lagpol(param = c(phi = 0.8) )
lagpol(param = c(phi1 = 1.2, phi2 = -0.6), s = 4)
lagpol(param = c(delta = 1), p = 2)