diff options
| -rw-r--r-- | R/iv.R | 12 |
1 files changed, 6 insertions, 6 deletions
@@ -61,10 +61,10 @@ iv <- function(z,order=c(0,1,0),x=NULL){ x <- matrix(sim(mod_arx$sys,u)) } - ivcompute(y,u,x,na,nb,nk,n,N) + ivcompute(y,u,x,na,nb,nk,n,N,z$unit) } -ivcompute <- function(y,u,x,na,nb,nk,n,N){ +ivcompute <- function(y,u,x,na,nb,nk,n,N,unit){ nb1 <- nb+nk-1 ; n <- max(na,nb1); df <- N-na-nb padZeros <- function(x,n) c(rep(0,n),x,rep(0,n)) yout <- apply(y,2,padZeros,n=n); @@ -96,8 +96,8 @@ ivcompute <- function(y,u,x,na,nb,nk,n,N){ sigma2 <- norm(e,"2")^2/df vcov <- sigma2*solve(t(phi)%*%phi) - model <- idpoly(A = c(1,theta[1:na]),B = theta[na+1:nb], - ioDelay = nk,Ts=deltat(z)) + model <- idpoly(A = c(1,theta[1:na]),B = theta[na+1:nb],ioDelay = nk, + Ts=deltat(z),noiseVar = sqrt(sigma2),unit=unit) estpoly(sys = model, stats=list(vcov = vcov, sigma = sqrt(sigma2),df = df), @@ -123,11 +123,11 @@ iv4 <- function(z,order=c(0,1,0)){ # Step 4 G2 <- signal::Arma(as.numeric(B),as.numeric(A)) - x2 <- matrix(sim(mod_iv1$sys,u,sigma=0)) + x2 <- matrix(sim(mod_iv1$sys,u)) Lf <- function(x,L) matrix(as.numeric(signal::filter(L,x))) filtered <- lapply(list(y,u,x2),Lf,L=Lhat) yf <- filtered[[1]]; uf<- filtered[[2]]; xf <- filtered[[3]] - ivcompute(yf,uf,xf,na,nb,nk,n,N) + ivcompute(yf,uf,xf,na,nb,nk,n,N,z$unit) }
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