diff options
| -rw-r--r-- | R/impulse.R | 13 |
1 files changed, 6 insertions, 7 deletions
diff --git a/R/impulse.R b/R/impulse.R index feda8bc..7ff9b34 100644 --- a/R/impulse.R +++ b/R/impulse.R @@ -4,25 +4,24 @@ #' given data #' #' @param data an object of class \code{idframe} -#' @param lags The number of lags upto which the estimate is to be -#' calculated. (Default:\code{30}) -#' @param delay The transport delay +#' @param M Order of the FIR Model (Default:\code{30}) +#' @param K Transport delay in the estimated impulse response #' #' @seealso \code{\link{plot.impulseest}}, \code{\link{step}} #' @export -impulseest <- function(data,lags=30){ +impulseest <- function(data,M=30,K){ N <- dim(data$output)[1] - ind <- (lags+1):N + ind <- (M+1):N - z_reg <- function(i) data$input[i:(i-lags),] + z_reg <- function(i) data$input[i:(i-M),] Z <- t(sapply(ind,z_reg)) Y <- data$output[ind,] fit <- lm(Y~Z-1) out <- list(coefficients=coef(fit),residuals=resid(fit), - lags=0:lags) + lags=0:M) class(out) <- "impulseest" return(out) } |