rucm (version 0.6)

ucm: 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.

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.

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.

See Also

KFAS, SSModel for a detailed discussion on State Space Models.

Examples

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