Description Usage Arguments Details Value Author(s) References See Also Examples
The function creates an object of class dlm representing a specified univariate or multivariate ARMA process
1 |
ar |
a vector or a list of matrices (in the multivariate case) containing the autoregressive coefficients. |
ma |
a vector or a list of matrices (in the multivariate case) containing the moving average coefficients. |
sigma2 |
the variance (or variance matrix) of the innovations. |
dV |
the variance, or the diagonal elements of the variance
matrix in the multivariate case, of the observation noise. |
m0 |
m0, the expected value of the pre-sample state vector. |
C0 |
C0, the variance matrix of the pre-sample state vector. |
The returned DLM only gives one of the many possible representations of an ARMA process.
The function returns an object of class dlm representing the ARMA
model specified by ar
, ma
, and sigma2
.
Giovanni Petris GPetris@uark.edu
Giovanni Petris (2010), An R Package for Dynamic Linear
Models. Journal of Statistical Software, 36(12), 1-16.
http://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli, Dynamic Linear Models with
R, Springer (2009).
Durbin and Koopman, Time series analysis by state space
methods, Oxford University Press, 2001.
dlmModPoly
, dlmModSeas
,
dlmModReg
1 2 3 4 5 |
$FF
[,1] [,2] [,3] [,4]
[1,] 1 0 0 0
$V
[,1]
[1,] 0
$GG
[,1] [,2] [,3] [,4]
[1,] 0.5 1 0 0
[2,] 0.1 0 1 0
[3,] 0.0 0 0 1
[4,] 0.0 0 0 0
$W
[,1] [,2] [,3] [,4]
[1,] 1.0 0.40 2.0 0.30
[2,] 0.4 0.16 0.8 0.12
[3,] 2.0 0.80 4.0 0.60
[4,] 0.3 0.12 0.6 0.09
$m0
[1] 0 0 0 0
$C0
[,1] [,2] [,3] [,4]
[1,] 1e+07 0e+00 0e+00 0e+00
[2,] 0e+00 1e+07 0e+00 0e+00
[3,] 0e+00 0e+00 1e+07 0e+00
[4,] 0e+00 0e+00 0e+00 1e+07
$FF
[,1] [,2] [,3] [,4]
[1,] 1 0 0 0
[2,] 0 1 0 0
$V
[,1] [,2]
[1,] 0 0
[2,] 0 0
$GG
[,1] [,2] [,3] [,4]
[1,] 1 3 1 0
[2,] 2 4 0 1
[3,] 101 103 0 0
[4,] 102 104 0 0
$W
[,1] [,2] [,3] [,4]
[1,] 1 0 -4 -3
[2,] 0 1 -2 -1
[3,] -4 -2 20 14
[4,] -3 -1 14 10
$m0
[1] 0 0 0 0
$C0
[,1] [,2] [,3] [,4]
[1,] 1e+07 0e+00 0e+00 0e+00
[2,] 0e+00 1e+07 0e+00 0e+00
[3,] 0e+00 0e+00 1e+07 0e+00
[4,] 0e+00 0e+00 0e+00 1e+07
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