specify: Specify an ARMA model

In itsmr: Time Series Analysis Using the Innovations Algorithm

Specify an ARMA model

Description

Specify an ARMA model

Usage

specify(ar = 0, ma = 0, sigma2 = 1)

Arguments

ar	Vector of AR coefficients (index number equals coefficient subscript)
ma	Vector of MA coefficients (index number equals coefficient subscript)
sigma2	White noise variance

Value

Returns an ARMA model consisting of a list with the following components.

phi	Vector of AR coefficients (index number equals coefficient subscript)
theta	Vector of MA coefficients (index number equals coefficient subscript)
sigma2	White noise variance

Examples

specify(ar=c(0,0,.99))

itsmr documentation built on Aug. 6, 2022, 9:08 a.m.