ArmaModel {sarima}

Create ARMA objects

Description

Create ARMA objects.

Usage

ArmaModel(...)
ArModel(...)
MaModel(...)

Arguments

...

the arguments are passed to new(). Typical arguments are ar, ma and mean.

Value

an object representing an ARMA, AR or MA model

Author(s)

Georgi N. Boshnakov

See Also

ArmaModel, ArModel, MaModel

Examples

## 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