mat.arma {dae}

Forms an arma correlation matrix

Description

Form the correlation matrix of order order whose correlations follow the arma pattern. The resulting matrix is banded.

Usage

mat.arma(ARparameter, MAparameter, order)

Arguments

ARparameter

A numeric value for the autoregressive parameter of the process, being the weight given to the lag 1 response values.

MAparameter

A numeric value for the moving average parameter of the process, being the weight given to the lag 1 random variable.

order

The order of the matrix to be formed.

Details

The correlations in the correlation matrix, corr say, are calculated from the correlation parameters, ARparameters. The values in

• the diagonal (k = 1) of corr are one;

• the first subdiagonal band (k = 2) of corr are equal to
  ARparameters[1]/(1-ARparameters[2]);

• in subsequent disgonal bands, (k = 3:order), of corr are
  ARparameters[1]*corr[k-1] + ARparameters[2]*corr[k-2].

Value

A banded correlation matrix whose elements follow an arma pattern.

Author(s)

Chris Brien

See Also

mat.I, mat.J, mat.cor, mat.corg, mat.exp, mat.gau, mat.banded, mat.ar1, mat.ar3, mat.sar2, mat.ma1, mat.ma2

Examples

    corr <- mat.arma(ARparameter = 0.4, MAparameter = -0.2, order = 4)