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author | Suraj Yerramilli | 2016-02-16 16:47:30 +0530 |
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committer | Suraj Yerramilli | 2016-02-16 16:47:30 +0530 |
commit | 2b17bae5c6d440c8c6217710feef3f9adc88dd82 (patch) | |
tree | 13c6cb1af10bd69b14a2c41743d630fc8c0e19a7 /man/bj.Rd | |
parent | 02b430c61fc21692f46db27c2cba298910f15749 (diff) | |
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added documentation for Box-Jenkins models
Diffstat (limited to 'man/bj.Rd')
-rw-r--r-- | man/bj.Rd | 68 |
1 files changed, 68 insertions, 0 deletions
diff --git a/man/bj.Rd b/man/bj.Rd new file mode 100644 index 0000000..24ec162 --- /dev/null +++ b/man/bj.Rd @@ -0,0 +1,68 @@ +% Generated by roxygen2: do not edit by hand +% Please edit documentation in R/estpoly.R +\name{bj} +\alias{bj} +\title{Estimate Box-Jenkins Models} +\usage{ +bj(z, order = c(1, 1, 1, 1, 0), init_sys = NULL, options = optimOptions()) +} +\arguments{ +\item{z}{an \code{idframe} object containing the data} + +\item{order}{Specification of the orders: the five integer components +(nb,nc,nd,nf,nk) are order of polynomial B + 1, order of the polynomial C, +order of the polynomial D, order of the polynomial F, and the +input-output delay respectively} + +\item{options}{Estimation Options, setup using +\code{\link{optimOptions}}} +} +\value{ +An object of class \code{estpoly} containing the following elements: + \item{sys}{an \code{idpoly} object containing the + fitted BJ coefficients} + \item{fitted.values}{the predicted response} + \item{residuals}{the residuals} + \item{input}{the input data used} + \item{call}{the matched call} + \item{stats}{A list containing the following fields: \cr + \code{vcov} - the covariance matrix of the fitted coefficients \cr + \code{sigma} - the standard deviation of the innovations} + \item{options}{Option set used for estimation. If no + custom options were configured, this is a set of default options} + \item{termination}{Termination conditions for the iterative + search used for prediction error minimization: + \code{WhyStop} - Reason for termination \cr + \code{iter} - Number of Iterations \cr + \code{iter} - Number of Function Evaluations } +} +\description{ +Fit a box-jenkins model of the specified order from input-output data +} +\details{ +SISO BJ models are of the form +\deqn{ + y[k] + f_1 y[k-1] + \ldots + f_{nf} y[k-nf] = b_{nk} u[k-nk] + + \ldots + b_{nk+nb} u[k-nk-nb] + f_{1} e[k-1] + \ldots f_{nf} e[k-nf] + + e[k] +} +The function estimates the coefficients using non-linear least squares +(Levenberg-Marquardt Algorithm) +\\ +The data is expected to have no offsets or trends. They can be removed +using the \code{\link{detrend}} function. +} +\examples{ +data(bjsim) +z <- dataSlice(data,end=1500) # training set +mod_bj <- bj(z,c(2,1,1,1,2)) +mod_bj +residplot(mod_bj) # residual plots + +} +\references{ +Arun K. Tangirala (2015), \emph{Principles of System Identification: +Theory and Practice}, CRC Press, Boca Raton. Sections 14.4.1, 17.5.2, +21.6.3 +} + |