ARIMA {simts} | R Documentation |
Create an Autoregressive Integrated Moving Average (ARIMA) Process
Description
Sets up the necessary backend for the ARIMA process.
Usage
ARIMA(ar = 1, i = 0, ma = 1, sigma2 = 1)
Arguments
ar |
A |
i |
An |
ma |
A |
sigma2 |
A |
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
,
- theta
- plength
Number of parameters
String containing simplified model
- obj.desc
y desc replicated x times
- obj
Depth of parameters e.g. list(c(length(ar),length(ma),1) )
- starting
Guess starting values? TRUE or FALSE (e.g. specified value)
Note
We consider the following model:
, where is iid from a zero
mean normal distribution with variance
.
Author(s)
James Balamuta
Examples
# Create an ARMA(1,2) process
ARIMA(ar=1,2)
# Creates an ARMA(3,2) process with predefined coefficients.
ARIMA(ar=c(0.23,.43, .59), ma=c(0.4,.3))
# Creates an ARMA(3,2) process with predefined coefficients and standard deviation
ARIMA(ar=c(0.23,.43, .59), ma=c(0.4,.3), sigma2 = 1.5)