mixFilter

mixFilter-methods

mixFilter,ANY,ANY,ANY-method

mixFilter,numeric,raggedCoef,numeric-method

Filter time series with MixAR filters, a generic function with no
 default method (currently).

methods

MixAR

Model time series using mixture autoregressive (MAR)
models. Implemented are frequentist (EM) and Bayesian
methods for estimation, prediction and model
evaluation. See Wong and Li (2002)
<doi:10.1111/1467-9868.00222>, Boshnakov (2009)
<doi:10.1016/j.spl.2009.04.009>), and the extensive
references in the documentation.

Georgi Boshnakov

mixAR

Mixture Autoregressive Models

Davide Ravagli

mixFilter function

<dl> <dt>x</dt>
<dd>time series</dd> <dt>coef</dt>
<dd>the filter coefficients</dd> <dt>index</dt>
<dd>indices for which to calculate the filtered values.</dd> <dt>shift</dt>
<dd>optional shifts (intercept) terms.</dd> <dt>residual</dt>
<dd>If FALSE (default) calculate ``predictions'', if TRUE calculate
 ``residuals''.</dd> <dt>scale</dt>
<dd>optional scale factor(s), makes sense only when
 <code>residual=TRUE</code>, corresponds to <code>scale</code> in the
 specification of a MixAR model.</dd></dl>

Arguments

Author

<dl><dt><code>signature(x = "ANY", coef = "ANY", index = "ANY")</code></dt>
<dd>This method simply prints an error message and stops.</dd>
<dt><code>signature(x = "numeric", coef = "raggedCoef", index = "numeric")</code></dt>
<dd></dd>
</dl>

Methods

Filter time series with MixAR filters — mixFilter

<dl>

 <dt>x</dt>
<dd>time series</dd>

 <dt>coef</dt>
<dd>the filter coefficients</dd>

 <dt>index</dt>
<dd>indices for which to calculate the filtered values.</dd>

 <dt>shift</dt>
<dd>optional shifts (intercept) terms.</dd>

 <dt>residual</dt>
<dd>If FALSE (default) calculate ``predictions'', if TRUE calculate
 ``residuals''.</dd>

 <dt>scale</dt>
<dd>optional scale factor(s), makes sense only when
 <code>residual=TRUE</code>, corresponds to <code>scale</code> in the
 specification of a MixAR model.</dd>

</dl>

<dl>

<dt><code>signature(x = "ANY", coef = "ANY", index = "ANY")</code></dt>
<dd>This method simply prints an error message and stops.</dd>


<dt><code>signature(x = "numeric", coef = "raggedCoef", index = "numeric")</code></dt>
<dd></dd>


</dl>

mixFilter: Filter time series with MixAR filters

Description

Usage

Value

Arguments

Author

Methods

See Also