diff options
| -rw-r--r-- | R/estpoly.R | 18 | ||||
| -rw-r--r-- | man/armax.Rd | 6 |
2 files changed, 19 insertions, 5 deletions
diff --git a/R/estpoly.R b/R/estpoly.R index d1747f3..66cbb25 100644 --- a/R/estpoly.R +++ b/R/estpoly.R @@ -212,6 +212,8 @@ arx <- function(x,order=c(1,1,1),lambda=0.1,intNoise=FALSE){ #' + 1, order of the polynomial C,and the input-output delay respectively #' @param init_sys Linear polynomial model that configures the initial parameterization. #' Must be an ARMAX model. Overrules the \code{order} argument +#' @param intNoise Logical variable indicating whether to add integrators in +#' the noise channel (Default=\code{FALSE}) #' @param options Estimation Options, setup using \code{\link{optimOptions}} #' #' @details @@ -258,8 +260,14 @@ arx <- function(x,order=c(1,1,1),lambda=0.1,intNoise=FALSE){ #' mod_armax #' #' @export -armax <- function(x,order=c(0,1,1,0),init_sys=NULL,options=optimOptions()){ - y <- outputData(x); u <- inputData(x); N <- dim(y)[1] +armax <- function(x,order=c(0,1,1,0),init_sys=NULL,intNoise=FALSE, + options=optimOptions()){ + y <- outputData(x); u <- inputData(x) + if(intNoise){ + y <- apply(y,2,diff) + u <- apply(u,2,diff) + } + N <- dim(y)[1] if(!is.null(init_sys)){ checkInitSys(init_sys) @@ -291,13 +299,15 @@ armax <- function(x,order=c(0,1,1,0),init_sys=NULL,options=optimOptions()){ theta0=theta0,N=N,opt=options) theta <- l$params e <- ts(l$residuals,start = start(y),deltat = deltat(y)) + fit <- matrix(y-e) + if(intNoise) fit <- apply(fit,2,cumsum) model <- idpoly(A = c(1,theta[1:na]),B = theta[na+1:nb], C = c(1,theta[na+nb+1:nc]),ioDelay = nk,Ts=deltat(x), - noiseVar = l$sigma,unit=x$unit) + noiseVar = l$sigma,intNoise=intNoise,unit=x$unit) estpoly(sys = model,stats=list(vcov = l$vcov, sigma = l$sigma), - fitted.values=y-e,residuals=e,call=match.call(),input=u, + fitted.values=fit,residuals=e,call=match.call(),input=u, options = options,termination = l$termination) } diff --git a/man/armax.Rd b/man/armax.Rd index 5bb880a..8e86575 100644 --- a/man/armax.Rd +++ b/man/armax.Rd @@ -4,7 +4,8 @@ \alias{armax} \title{Estimate ARMAX Models} \usage{ -armax(x, order = c(0, 1, 1, 0), init_sys = NULL, options = optimOptions()) +armax(x, order = c(0, 1, 1, 0), init_sys = NULL, intNoise = FALSE, + options = optimOptions()) } \arguments{ \item{x}{an object of class \code{idframe}} @@ -16,6 +17,9 @@ armax(x, order = c(0, 1, 1, 0), init_sys = NULL, options = optimOptions()) \item{init_sys}{Linear polynomial model that configures the initial parameterization. Must be an ARMAX model. Overrules the \code{order} argument} +\item{intNoise}{Logical variable indicating whether to add integrators in +the noise channel (Default=\code{FALSE})} + \item{options}{Estimation Options, setup using \code{\link{optimOptions}}} } \value{ |