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 |
theta |
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
AR1
,MA1
,SIGMA2
- theta
\phi
,\theta
,\sigma^2
- plength
Number of Parameters: 3
String containing simplified model
- obj.desc
Depth of Parameters e.g. list(c(1,1,1))
- starting
Guess Starting values?
TRUE
orFALSE
(e.g. specified value)
Note
We consider the following model:
X_t = \phi X_{t-1} + \theta_1 \varepsilon_{t-1} + \varepsilon_t,
where \varepsilon_t
is iid from a zero
mean normal distribution with variance \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()