MA: Create an Moving Average Q [MA(Q)] Process

Description Usage Arguments Value Note Author(s) Examples

View source: R/ts.model.R

Description

Sets up the necessary backend for the MA(Q) process.

Usage

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MA(theta = NULL, sigma2 = 1)

Arguments

theta

A double value for the parameter theta (see Note for details).

sigma2

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

Value

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

process.desc

Used in summary: "MA-1","MA-2", ..., "MA-Q", "SIGMA2"

theta

theta[[1]], theta[[2]], ..., theta[[q]], sigma^2

plength

Number of parameters

desc

"MA"

print

String containing simplified model

obj.desc

Depth of parameters e.g. list(q,1)

starting

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

Note

We consider the following model:

X_t = ∑_{j = 1}^q θ_j \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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MA(1) # One theta
MA(2) # Two thetas!

MA(theta=.32, sigma=1.3) # 1 theta with a specific value.
MA(theta=c(.3,.5), sigma=.3) # 2 thetas with specific values.

SMAC-Group/simts documentation built on July 23, 2018, 1:15 a.m.