Create a DLM representation of an ARMA process
Description
The function creates an object of class dlm representing a specified univariate or multivariate ARMA process
Usage
1 |
Arguments
ar |
a vector or a list of matrices (in the multivariate case) containing the autoregressive coefficients. |
ma |
a vector or a list of matrices (in the multivariate case) containing the moving average coefficients. |
sigma2 |
the variance (or variance matrix) of the innovations. |
dV |
the variance, or the diagonal elements of the variance
matrix in the multivariate case, of the observation noise. |
m0 |
m0, the expected value of the pre-sample state vector. |
C0 |
C0, the variance matrix of the pre-sample state vector. |
Details
The returned DLM only gives one of the many possible representations of an ARMA process.
Value
The function returns an object of class dlm representing the ARMA
model specified by ar
, ma
, and sigma2
.
Author(s)
Giovanni Petris GPetris@uark.edu
References
Giovanni Petris (2010), An R Package for Dynamic Linear
Models. Journal of Statistical Software, 36(12), 1-16.
http://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with
R, Springer (2009).
Durbin and Koopman, Time series analysis by state space
methods, Oxford University Press, 2001.
See Also
dlmModPoly
, dlmModSeas
,
dlmModReg
Examples
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