tfm1 function

Transfer Function Model with One Input

Estimation of a general transfer function model. The model can only handle one input and one output.

tfm1(y, x, orderN, orderX)

Arguments

• y: Data vector of dependent variable
• x: Data vector of input (or independent) variable
• orderN: Order (p,d,q) of the disturbance component
• orderX: Order (r,s,b) of the transfer function model, where r and s are the degrees of denominator and numerator polynomials and b is the delay

Details

Perform estimation of a general transfer function model

Returns

• estimate: Coefficient estimates

• sigma2: Residual variance sigma-square

• residuals: Residual series

• varcoef: Variance of the estimates

• Nt: The disturbance series

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

Author(s)

Ruey S. Tsay

See Also

tfm

Examples

##da=read.table("gasfur.txt")
##y=da[,2]; x=da[,1]
##m1=tfm1(y,x,orderX=c(1,2,3),orderN=c(2,0,0))