corARMA | R Documentation |
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.
corARMA(value, form, p, q, fixed)
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.
JosÃ© Pinheiro and Douglas Bates bates@stat.wisc.edu
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
## 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) )
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