Description Usage Arguments Value Author(s) References See Also Examples

This function is a constructor for the `corARMA`

class,
representing an autocorrelation-moving average correlation structure
of order (p, q). Objects created using this constructor must later
be initialized using the appropriate `Initialize`

method.

1 |

`value` |
a vector with the values of the autoregressive and moving
average parameters, which must have length |

`form` |
a one sided formula of the form |

`p, q` |
non-negative integers specifying respectively the
autoregressive order and the moving average order of the |

`fixed` |
an optional logical value indicating whether the
coefficients should be allowed to vary in the optimization, or kept
fixed at their initial value. Defaults to |

an object of class `corARMA`

, representing an
autocorrelation-moving average correlation structure.

Jos<c3><a9> Pinheiro and Douglas Bates [email protected]

Box, G.E.P., Jenkins, G.M., and Reinsel G.C. (1994) "Time Series Analysis: Forecasting and Control", 3rd Edition, Holden-Day.

Pinheiro, J.C., and Bates, D.M. (2000) "Mixed-Effects Models in S and S-PLUS", Springer, esp. pp. 236, 397.

`corAR1`

,
`corClasses`

`Initialize.corStruct`

,
`summary.corStruct`

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 | ```
## ARMA(1,2) structure, with observation order as a covariate and
## Mare as grouping factor
cs1 <- corARMA(c(0.2, 0.3, -0.1), form = ~ 1 | Mare, p = 1, q = 2)
# Pinheiro and Bates, p. 237
cs1ARMA <- corARMA(0.4, form = ~ 1 | Subject, q = 1)
cs1ARMA <- Initialize(cs1ARMA, data = Orthodont)
corMatrix(cs1ARMA)
cs2ARMA <- corARMA(c(0.8, 0.4), form = ~ 1 | Subject, p=1, q=1)
cs2ARMA <- Initialize(cs2ARMA, data = Orthodont)
corMatrix(cs2ARMA)
# Pinheiro and Bates use in nlme:
# from p. 240 needed on p. 396
fm1Ovar.lme <- lme(follicles ~ sin(2*pi*Time) + cos(2*pi*Time),
data = Ovary, random = pdDiag(~sin(2*pi*Time)))
fm5Ovar.lme <- update(fm1Ovar.lme,
corr = corARMA(p = 1, q = 1))
# p. 396
fm1Ovar.nlme <- nlme(follicles~
A+B*sin(2*pi*w*Time)+C*cos(2*pi*w*Time),
data=Ovary, fixed=A+B+C+w~1,
random=pdDiag(A+B+w~1),
start=c(fixef(fm5Ovar.lme), 1) )
# p. 397
fm3Ovar.nlme <- update(fm1Ovar.nlme,
corr=corARMA(p=0, q=2) )
``` |

nlme documentation built on Feb. 17, 2018, 1:01 a.m.

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