ArmaModel | R Documentation |
Create ARMA objects.
ArmaModel(...) ArModel(...) MaModel(...)
... |
the arguments are passed to |
an object representing an ARMA, AR or MA model
Georgi N. Boshnakov
ArmaModel
,
ArModel
,
MaModel
## MA ( ma2a1 <- MaModel(ma = c(0.3, 0.7), sigma2 = 1) ) autocorrelations(ma2a1, maxlag = 6) partialAutocorrelations(ma2a1, maxlag = 6) autocovariances(ma2a1, maxlag = 6) partialVariances(ma2a1, maxlag = 6) ## sigma2 is set to NA if not specified ## but things that don't depend on it are computed: ( ma2a2 <- MaModel(ma = c(0.3, 0.7)) ) autocorrelations(ma2a2, maxlag = 6) partialAutocorrelations(ma2a2, maxlag = 6) ## AR ( ar2a1 <- ArModel(ar = c(-0.3, -0.7), sigma2 = 1) ) autocorrelations(ar2a1, maxlag = 6) partialAutocorrelations(ar2a1, maxlag = 6) autocovariances(ar2a1, maxlag = 6) partialVariances(ar2a1, maxlag = 6) ## ARMA ( arma2a1 <- ArmaModel(ar = 0.5, ma = c(0.3, 0.7), sigma2 = 1) ) autocorrelations(arma2a1, maxlag = 6) partialAutocorrelations(arma2a1, maxlag = 6) ## modelCoef() returns a list with components 'ar' and 'ma' modelCoef(arma2a1) modelCoef(ma2a1) modelCoef(ar2a1) ## modelOrder() returns a list with components 'ar' and 'ma' modelOrder(arma2a1) modelOrder(ma2a1) modelOrder(ar2a1) as(ma2a1, "ArmaModel") # success, as expected as(ar2a1, "ArModel") # success, as expected as(ArmaModel(ar = c(-0.3, -0.7)), "ArModel") ## But these fail: ## as(ma2a1, "ArModel") # fails ## as(arma2a1, "ArModel") # fails ## as(arma2a1, "MaModel") # fails
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