mat.arma: Forms an arma correlation matrix

In dae: Functions Useful in the Design and ANOVA of Experiments

Forms an arma correlation matrix

Description

Form the correlation matrix of order order whose correlations follow the arma pattern. The resulting matrix is banded.

Usage

mat.arma(ARparameter, MAparameter, order)

Arguments

ARparameter	A numeric value for the autoregressive parameter of the process, being the weight given to the lag 1 response values.
MAparameter	A numeric value for the moving average parameter of the process, being the weight given to the lag 1 random variable.
order	The order of the matrix to be formed.

Details

The correlations in the correlation matrix, corr say, are calculated from the correlation parameters, ARparameters. The values in

• the diagonal (k = 1) of corr are one;

• the first subdiagonal band (k = 2) of corr are equal to
  ARparameters[1]/(1-ARparameters[2]);

• in subsequent disgonal bands, (k = 3:order), of corr are
  ARparameters[1]*corr[k-1] + ARparameters[2]*corr[k-2].

Value

A banded correlation matrix whose elements follow an arma pattern.

Author(s)

Chris Brien

See Also

mat.I, mat.J, mat.cor, mat.corg, mat.exp, mat.gau, mat.banded, mat.ar1, mat.ar3, mat.sar2, mat.ma1, mat.ma2

Examples

    corr <- mat.arma(ARparameter = 0.4, MAparameter = -0.2, order = 4)

dae documentation built on June 22, 2024, 9:07 a.m.