ARMA11: Definition of an ARMA(1,1)

Description Usage Arguments Details Value Note Author(s) Examples

View source: R/ts.model.R

Description

Definition of an ARMA(1,1)

Usage

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ARMA11(phi = NULL, theta = NULL, sigma2 = 1)

Arguments

phi

A double containing the parameter phi[1] (see Note for details).

theta

A double containing the parameter theta[1] (see Note for details).

sigma2

A double value for the parameter sigma^2 (see Note for details).

Details

A variance is required since the model generation statements utilize randomization functions expecting a variance instead of a standard deviation like R.

Value

An S3 object with called ts.model with the following structure:

process.desc

AR1, MA1, SIGMA2

theta

phi, theta, sigma^2

plength

Number of Parameters: 3

print

String containing simplified model

obj.desc

Depth of Parameters e.g. list(c(1,1,1))

starting

Guess Starting values? TRUE or FALSE (e.g. specified value)

Note

We consider the following model:

X_t = φ X_{t-1} + θ_1 \varepsilon_{t-1} + \varepsilon_t,

where \varepsilon_t is iid from a zero mean normal distribution with variance σ^2.

Author(s)

James Balamuta

Examples

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# Creates an ARMA(1,1) process with predefined coefficients.
ARMA11(phi = .23, theta = .1, sigma2 = 1)

# Creates an ARMA(1,1) process with values to be guessed on callibration.
ARMA11()

SMAC-Group/simts documentation built on Jan. 30, 2018, 6:39 a.m.