tfarima (version 0.4.1)

as.ssm.ucarima: Structural form for an ARIMA model

Description

as.ssm finds the structural form for an ARIMA model from its the eventual forecast function.

Usage

# S3 method for ucarima
as.ssm(object, ...)
as.ssm(object, ...)
# S3 method for um
as.ssm(
  object,
  z = NULL,
  msoe = TRUE,
  H = NULL,
  cform = TRUE,
  tol = 1.490116e-08,
  nonadm = c("quadprog", "nnls", "none"),
  envir = NULL,
  ...
)

Value

An object of class ssm

Arguments

object

an object of class um.

...

other arguments.

z

an optional time series.

msoe

logical, TRUE for multiple source of errors and FALSE for single source of error.

H

an optional matrix to reduce the number of variances.

cform

logical. TRUE for contemporaneous form and FALSE for future form.

tol

tolerance to check if the elements of b and C are zero.

nonadm

character, the method to overcome nonadmissibility: non-linear least squares, quadratic programming or none.

envir

environment, see "um".

Examples

airl <- um(i = list(1, c(1, 12)), ma = "(1 - 0.8B)(1 - 0.8B12)")
ssm1 <- as.ssm(airl, index = c(1, 0, rep(2, 11)))
ssm1