artrans.wge {tswge}

Perform Ar transformations

Description

Given a time series in the vector x, and AR coefs phi1 and phi2, for example, artrans.wge computes y(t)=x(t)-phi1X(t-1)-phi2x(t-2), for t=3, ..., n

Usage

artrans.wge(x,phi.tr, lag.max=25, plottr = "TRUE")

Arguments

x

Vector containing original realization

phi.tr

Coefficients of the transformation

lag.max

Max lag (k) for sample autocorrelations

plottr

If plottr=TRUE then plots of the data, transformed data, and sample autocorelations of original and transformed data

Value

Transformed data

Note

For a difference, use phi.tr=1

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott"

Examples

data(wtcrude)
difdata=artrans.wge(wtcrude,phi.tr=1,lag.max=30,plottr=TRUE)