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authorSuraj Yerramilli2016-02-16 16:47:30 +0530
committerSuraj Yerramilli2016-02-16 16:47:30 +0530
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added documentation for Box-Jenkins models
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+% 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
+}
+