pc.hat.h {pcts} | R Documentation |
The h coefficients are scaled cross-covariances between the time series and the innovations. This function computes estimates for h using as input the observed series, a series of estimated innovations, and an estimate of the variance of the innovations.
pc.hat.h(x, eps, maxlag, si2hat)
x |
the observed time series x(t) |
eps |
a series of esimated innovations |
maxlag |
maximum lag |
si2hat |
estimate of the variance of the innovations |
If missing, the variance of the innovations is estimated from eps
.
A matrix of the coefficient up to lag maxlag with one row for each season.
Georgi N. Boshnakov
Boshnakov GN (1996). “Recursive computation of the parameters of periodic autoregressive moving-average processes.” J. Time Ser. Anal., 17(4), 333–349. ISSN 0143-9782, doi:10.1111/j.1467-9892.1996.tb00281.x.