R help - May 2015 - using filter() to sum up

Hi everybody,

I am trying to create a code for the formula in the attachment. I first tried
following code:

ltau <- m + theta*sum(psi*X[t-k])

but it does not work and I get for X[t-k] every third element in my vector three
times which looks as follows:
X[t-k]
[1] -0.25 -0.25 -0.25 0.50 0.50 0.50 -0.44 -0.44 -0.44 0.15 0.15 0.15

Thus, I tried the filter() function in R which looks as follows:
ltau <- m + theta* filter(f.USA$UTS, phi(K, omega1, omega2), sides=1,
method="conv")

Reading the description of this function I am unsure whether this provides the
sum of the k lags. The appreviation "conv" provides, as far as I
understand, the moving average instead of the sum.

Does anybody have an idea how the R code for the formula attached must look
like? Is the filter() function appropriate?

Thanks in advance.
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On 04 May 2015, at 21:38 , T.Riedle <tr206 at kent.ac.uk> wrote:
> Hi everybody,
> 
> I am trying to create a code for the formula in the attachment. I first
tried following code:
> 
> ltau <- m + theta*sum(psi*X[t-k])
> 
That's not going to work. It might work with something like

sum(psi*X[(t-1):(t-K)])

> but it does not work and I get for X[t-k] every third element in my vector
three times which looks as follows:
> X[t-k]
> [1] -0.25 -0.25 -0.25 0.50 0.50 0.50 -0.44 -0.44 -0.44 0.15 0.15 0.15
> 
> Thus, I tried the filter() function in R which looks as follows:
> ltau <- m + theta* filter(f.USA$UTS, phi(K, omega1, omega2), sides=1,
method="conv")
> 
> Reading the description of this function I am unsure whether this provides
the sum of the k lags. The appreviation "conv" provides, as far as I
understand, the moving average instead of the sum.
I would assume that it means convolution. Which is what you have in the formula.
> Does anybody have an idea how the R code for the formula attached must look
like? Is the filter() function appropriate?
It's barking up the right tree, but do your own checks...

-pd

> Thanks in advance.
> <tau.png>______________________________________________
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-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
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