WL20 US Model

#

# Cut-and-pate Code Below into Window Above and Run

# WL20_US BAU Model

#

# Measurement Matrix 

#           Q      N  HOURS XREAL      X      L

#[1,]  0.4124  0.403  0.413 0.410  0.399  0.412

#[2,] -0.1464 -0.580 -0.122 0.310  0.711 -0.160

#[3,] -0.0825 -0.546  0.137 0.358 -0.466  0.575

#

# Fraction of Variance 

#[1] 0.977 0.999 1.000 1.000 1.000 1.000

#

AIC <- function(model) {informationTestsCalculations(model)[3]}

require(dse)

require(matlab)

f <- matrix( c(1.026261160, -0.04873236, 0.04995449,  0.166789178,

                      0.023195483,  1.01292512, 0.06694359,  0.004293523,

                     -0.002685722, -0.04074830, 1.04458649, -0.006797188,

0.00000000,  0.0000000,  0.0000000,  1.0000000000

),byrow=TRUE,nrow=4,ncol=4)

h <- eye(3,4)

k <- (f[,1:3,drop=FALSE])

WL20US <- SS(F=f,H=h,K=k,z0=c(0.166789178,  0.004293523, -0.006797188,  1.0000000000),

              output.names=c("US1","US2","US3"))

print(WL20US)

is.SS(WL20US)

stability(WL20US)

n <- 100

# tfplot(simulate(WL20US,sampleT=n))

WL20US.data <- simulate(WL20US,sampleT=n,noise=matrix(0,n,3))

WL20US.f <- forecast(l(WL20US,WL20US.data),horizon=n)

tfplot(WL20US.f)

AIC(l(WL20US,WL20US.data))