UCestim
Estimates and forecasts UC models
UCestim(sys)
Arguments
sys: an object of type UComp created with UC
Returns
The same input object with the appropriate fields filled in, in particular:
- p: Estimated transformed parameters
- v: Estimated innovations (white noise in correctly specified models)
- yFor: Forecast values of output
- yForV: Forecasted values variance
- criteria: Value of criteria for estimated model
- covp: Covariance matrix of estimated transformed parameters
- grad: Gradient of log-likelihood at the optimum
- iter: Estimation iterations
Details
UCestim estimates and forecasts a time series using an UC model. The optimization method is a BFGS quasi-Newton algorithm with a backtracking line search using Armijo conditions. Parameter names in output table are the following:
- Damping: Damping factor for DT trend.
- Level: Variance of level disturbance.
- Slope: Variance of slope disturbance.
- Rho(#): Damping factor of cycle #.
- Period(#): Estimated period of cycle #.
- Var(#): Variance of cycle #.
- Seas(#): Seasonal harmonic with period #.
- Irregular: Variance of irregular component.
- AR(#): AR parameter of lag #.
- MA(#): MA parameter of lag #.
- AO#: Additive outlier in observation #.
- LS#: Level shift outlier in observation #.
- SC#: Slope change outlier in observation #.
- Beta(#): Beta parameter of input #.
- Cnst: Constant.
Standard methods applicable to UComp objects are print, summary, plot, fitted, residuals, logLik, AIC, BIC, coef, predict, tsdiag.
Examples
## Not run:
m1 <- UCsetup(log(AirPassengers))
m1 <- UCestim(m1)
## End(Not run)
See Also
UC, UCforecast, UCvalidate, UCfilter, UCsmooth, UCdisturb, UCcomponents, UChp
Author(s)
Diego J. Pedregal