Arma | R Documentation |
Create an ARMA model representing a filter or system model, or convert other forms to an ARMA model.
Arma(b, a)
as.Arma(x, ...)
## S3 method for class 'Arma'
as.Arma(x, ...)
## S3 method for class 'Ma'
as.Arma(x, ...)
## S3 method for class 'Sos'
as.Arma(x, ...)
## S3 method for class 'Zpg'
as.Arma(x, ...)
b |
moving average (MA) polynomial coefficients. |
a |
autoregressive (AR) polynomial coefficients. |
x |
model or filter to be converted to an ARMA representation. |
... |
additional arguments (ignored). |
The ARMA model is defined by:
a(L)y(t) = b(L)x(t)
The ARMA model can define an analog or digital model. The AR and MA
polynomial coefficients follow the convention in 'Matlab' and 'Octave' where
the coefficients are in decreasing order of the polynomial (the opposite of
the definitions for filter
filter and
polyroot
). For an analog model,
H(s) = (b[1]*s^(m-1) + b[2]*s^(m-2) + ... + b[m]) / (a[1]*s^(n-1) + a[2]*s^(n-2) + ... + a[n])
For a z-plane digital model,
H(z) = (b[1] + b[2]*z^(-1) + … + b[m]*z^(-m+1)) / (a[1] + a[2]*z^(-1) + … + a[n]*z^(-n+1))
as.Arma
converts from other forms, including Zpg
and Ma
.
A list of class 'Arma'
with the following list elements:
moving average (MA) polynomial coefficients
autoregressive (AR) polynomial coefficients
Tom Short, tshort@eprisolutions.com,
adapted by Geert van Boxtel, gjmvanboxtel@gmail.com.
See also Zpg
, Ma
, filter
,
and various filter-generation functions like butter
and
cheby1
that return Arma models.
filt <- Arma(b = c(1, 2, 1)/3, a = c(1, 1))
zplane(filt)
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