ARMA11 {simts}R Documentation

Definition of an ARMA(1,1)

Description

Definition of an ARMA(1,1)

Usage

ARMA11(phi = NULL, theta = NULL, sigma2 = 1)

Arguments

phi

A double containing the parameter ϕ1\phi _1 (see Note for details).

theta

A double containing the parameter θ1\theta _1 (see Note for details).

sigma2

A double value for the parameter σ2\sigma^2 (see Note for details).

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

AR1AR1, MA1MA1, SIGMA2SIGMA2

theta

ϕ\phi, θ\theta, σ2\sigma^2

plength

Number of Parameters: 3

print

String containing simplified model

obj.desc

Depth of Parameters e.g. list(c(1,1,1))

starting

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

Note

We consider the following model:

Xt=ϕXt1+θ1εt1+εt,X_t = \phi X_{t-1} + \theta_1 \varepsilon_{t-1} + \varepsilon_t,

where εt\varepsilon_t is iid from a zero mean normal distribution with variance σ2\sigma^2.

Author(s)

James Balamuta

Examples

# Creates an ARMA(1,1) process with predefined coefficients.
ARMA11(phi = .23, theta = .1, sigma2 = 1)

# Creates an ARMA(1,1) process with values to be guessed on callibration.
ARMA11()

[Package simts version 0.2.2 Index]