arguments.coefs {BTSR} | R Documentation |
Shared documentation for coefficients
Description
This is the common documentation for arguments related to the coefficients in BTSR models.
Arguments
ignore.start |
optional; logical value indicating whether the argument
|
start |
optional; a list with the starting values for the non-fixed
coefficients of the model (fit only). The default is |
coefs |
a list with the coefficients of the model (simulation and
extraction only). The default is |
lags |
optional; a list with the lags (integer values) that the entries
in |
fixed.values |
optional; a list with the values of the coefficients that
are fixed (extract and fit only). The default is |
fixed.lags |
optional; a list with the lags (integer values) that the
fixed values in |
lower |
optional; list with the lower bounds for the parameters (fit
only). Default is |
upper |
optional; list with the upper bounds for the parameters (fit
only). Default is |
Model coefficients
start
, coefs
, fixed.values
, lags
and fixed.lags
can be specified in
one of two ways
-
Legacy structure: a list with optional components
alpha
,beta
,phi
,theta
,d
,u0
(BARC only) and required argumentnu
(except for one-parameter models such as ULARMA and MARMA). -
New structure: a list with elements
part1
andpart2
, each being a list with with optional componentsalpha
,beta
,phi
,theta
,d
andu0
(BARC only).
The optional arguments in this lists are
-
alpha
: a numeric value corresponding to the intercept. For i.i.d. corresponds to the mean of the distribution. -
beta
: a vector of coefficients corresponding to the regressors inxreg
. -
phi
: a vector of autoregressive coefficients. -
theta
: for BARC models, this is the parameter for the map function (see BARC.functions for details). For any other model, this is a vector of moving average coefficients corresponding to the MA order. d
: a numeric value corresponding to the long memory parameter.-
u0
: a numeric value in the interval(0,1)
, corresponding to the value of the random variableU_0
. See BARC.functions for details. nu
: distribution related parameter, usually the dispersion.
The following rules apply for these lists and their arguments.
Simulation:
Passing
coefs
as an empty list will result in an error message.-
start
andfixed.values
(consequently,fixed.lags
) are not used. If
xreg
is provided butcoefs
does not include abeta
argument, an error message is issued.-
phi
must be a vector of lengthp
(the AR order), meaning all coefficients must be provided, including zeros. -
theta
(non-BARC models) must be a vector of lengthq
(the MA order), meaning all coefficients must be provided, including zeros.
Extraction:
One dimensional parameters (e.g.
alpha
) that do not appear incoefs
are assume to be fixed.An error message will be issued if both
coefs
andfixed.values
are both empty.If
\nu
is not constant over time andnu
is missing in bothcoefs
andfixed.values
, an error message is issued (except for one-parameter models such as ULARMA and MARMA). Ignored if the new format is used.
Fitting:
One dimensional parameters (e.g.
alpha
) cannot appear in bothstart
andfixed.values
.-
coefs
is not used.
Extraction and fitting:
Coefficients may include both fixed lags (with values in
fixed.values
) and non-fixed lags (with values incoefs
orstart
).-
lags
andfixed.lags
are complementary. Either suffices, or mix them (e.g.,lags
for some parameters,fixed.lags
for others). For one dimensional parameters, the lag is obviously always 1 and can be suppressed when the parameter added to the
fixed.values
list.For extraction, if
coefs = NULL
, one dimensional parameters that do not appear infixed.values
are assumed to be non-fixed. The same goes for fitting whenstart = NULL
orignore.start = TRUE
.If
coefs
/start
is provided, one dimensional parameters that do not appear in this list are assumed to be fixed.By default, if a given vector has fixed lags and the corresponding entry in
fixed.values
is empty, the fixed values are set as zero.If parameter values are provided in
coefs
,start
orfixed.values
and the size of the vector is not the same as the dimension of the parameters, eitherlags
orfixed.lags
must also be provided.