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)
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 |
Perform estimation of a general transfer function model
estimate |
Coefficient estimates |
sigma2 |
Residual variance sigma-square |
residuals |
Residual series |
varcoef |
Variance of the estimates |
Nt |
The disturbance series |
Ruey S. Tsay
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.
tfm
##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))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.