Function reference • RLDM

Basic Classes

Models

Models for rational transfer functions including input covariance.

RLDM: A Collection of Tools for VARMA and State Space Processes

armamod(): Constructor for LMFD (ARMA) Models

rmfdmod(): Constructor for RMFD Models

stspmod(): Creator for stspmod class

Templates

fill_template() extract_theta(): Connect Deep Parameters with a Model

model2template() tmpl_arma_pq() tmpl_arma_echelon() tmpl_rmfd_pq() tmpl_rmfd_echelon() tmpl_stsp_full() tmpl_stsp_ar() tmpl_stsp_echelon(): Model Structures

tmpl_llm() tmpl_lltm() tmpl_cycle() tmpl_season() cbind_templates(): Structural Time Series Models

tmpl_DDLC() tmpl_GRAM(): Local Model Structures

tmpl_sigma_L(): sigma_L Structure

is.template(): Check templates

Test Objects

r_model(): Generate a Random Model

test_armamod(): Create Test ARMA model

test_stspmod(): Create Test state space Model

Transformation between and of Models

as.stspmod(): Coerce to State Space Model

innovation_form(): Innovation Form state space Model

Derivatives of Basic Classes

autocov(): Autocovariance, Autocorelation and Partial Autocorrelation Function

fevardec(): Forecast Error Variance Decomposition

freqresp(): Frequency Response Function

impresp(): Impulse Response Function

spectrald(): Spectral Density

dft_3D(): Discrete Time Fourier Transform

Generic Functions and Helpers

str(<armamod>) str(<stspmod>) str(<impresp>) str(<autocov>) str(<fevardec>) str(<freqresp>) str(<spectrald>): Display the Structure of Objects

plot(<impresp>) plot(<autocov>) plot(<freqresp>) plot(<spectrald>): Plot Methods

plot(<fevardec>): Plot Forecast Error Variance Decomposition

plot_prediction(): Plot Forecasts

zeroes(<armamod>) poles(<armamod>) zeroes(<rmfdmod>) poles(<rmfdmod>) zeroes(<stspmod>) poles(<stspmod>): Poles and Zeroes

predict(<armamod>) predict(<stspmod>) evaluate_prediction(): Model Predictions

print(<armamod>) print(<rmfdmod>) print(<stspmod>) print(<impresp>) print(<autocov>) print(<fevardec>) print(<freqresp>) print(<spectrald>): Print Methods

Solving Difference Equations

Main methods (Generics)

solve_de() solve_inverse_de(): Solve (linear) Difference Equations

RcppArmadillo Implementations

outputs_ARMA_cpp(): Outputs of an ARMA systems

outputs_STSP_cpp(): Outputs of a statespace system

residuals_ARMA_cpp(): Residuals of an ARMA system

residuals_STSP_cpp(): Residuals of a statespace system

cll_theta_ARMA_cpp(): Compute the (concentrated) conditional log likelihood for ARMA models described by a model template.

cll_theta_STSP_cpp(): Compute the (concentrated) conditional log likelihood for a statespace system described by a model template.

RcppArmadillo Implementations: R Functions For Checking (and Helpers)

solve_RMFD_R(): Solve RMFD system for given inputs

solve_inverse_RMFD_R(): Obtain Inputs of RMFD System for Given Data

solve_ARMA_R(): Solve ARMA system

toepl_fwd() toepl_inv(): Toeplitz Calculations

Possibly Deprecated RcppArmadillo Implementations

fbsolve_STSP_cpp(): Forward-backward solution of statespace systems

solve_rmfd_cpp(): Simulating Output from an RMFD Model (or obtain residuals)

Moment Based Estimation

est_ML(): Maximum Likelihood Estimation

est_ar() est_ar_yw() est_ar_dlw() est_ar_ols(): Estimate Autoregressive Models

est_arma_hrk(): Hannan, Rissanen, Kavalieris estimation procedure

est_arma_hrk3(): Different version of HRK Procedure

est_stsp_aoki() est_stsp_cca() est_stsp_cca_sample(): Subspace Helper Methods

est_stsp_ss(): Estimate State Space Models with Subspace Methods

Likelihood Estimation

Main

ll(): Log Likelihood Methods

ll_FUN(): Log Likelihood Function Factory

ll_theta(): Log-likelihood Given Deep Parameters

For State Space Models only

ll_kf_cpp() ll_kf2_cpp() ll_kf(): Gaussian log Likelihood of a State Space Model

Model Comparison

compare_estimates(): Compare Estimated Models

pm_test(): Portmanteau Test for Serial Correlation

KL_divergence(): Kullback–Leibler divergence

kf_cpp() kf2_cpp() kf(): Kalman Filter

riccati(): Solve a discrete time, algebraic Riccati equation

tmpl_DDLC() tmpl_GRAM(): Local Model Structures

estorder_SVC() estorder_IVC() estorder_max() estorder_rkH() estorder_MOE(): Helper Functions for Order Estimation

est_stsp_aoki() est_stsp_cca() est_stsp_cca_sample(): Subspace Helper Methods

est_stsp_ss(): Estimate State Space Models with Subspace Methods

Others

sim(): Simulate from a State Space or VARMA Model

RcppArmadillo

Some methods are implemented in RcppArmadillo to speed up calculations

cll_theta_ARMA_cpp(): Compute the (concentrated) conditional log likelihood for ARMA models described by a model template.

cll_theta_STSP_cpp(): Compute the (concentrated) conditional log likelihood for a statespace system described by a model template.

fbsolve_STSP_cpp(): Forward-backward solution of statespace systems

kf_cpp() kf2_cpp() kf(): Kalman Filter

ll_kf_cpp() ll_kf2_cpp() ll_kf(): Gaussian log Likelihood of a State Space Model

ll_kf_theta_cpp(): Compute the log likelihood for a statespace system described by a model template.

outputs_ARMA_cpp(): Outputs of an ARMA systems

outputs_STSP_cpp(): Outputs of a statespace system

residuals_ARMA_cpp(): Residuals of an ARMA system

residuals_STSP_cpp(): Residuals of a statespace system

solve_rmfd_cpp(): Simulating Output from an RMFD Model (or obtain residuals)

Data Sets

BQdata BQdata_ts BQdata_xts: Blanchard/Quah (1989) dataset

RSdata RSdata_ts RSdata_xts: Ramey/Shapiro dataset