diff options
| -rw-r--r-- | R/iv.R | 7 |
1 files changed, 4 insertions, 3 deletions
@@ -119,12 +119,13 @@ iv4 <- function(z,order=c(0,1,0)){ # w <- matrix(as.numeric(signal::filter(A,y)) - # as.numeric(signal::filter(B,u))) w <- resid(mod_iv1) - mod_ar <- ar(w,aic = F,order=10+na+nb) - Lhat <- signal::Ma(c(1,-mod_ar$ar)) + mod_ar <- ar(w,aic = F,order=na+nb) + Lhat <- signal::Arma(1,c(1,-mod_ar$ar)) # Step 4 # G2 <- signal::Arma(as.numeric(B),as.numeric(A)) - x2 <- matrix(sim(mod_iv1$sys,u)) + # x2 <- matrix(sim(mod_iv1$sys,u)) + x2 <- predict(mod_iv1) Lf <- function(x,L) matrix(as.numeric(signal::filter(L,x))) filtered <- lapply(list(y,u,x2),Lf,L=Lhat) |