MA {simts}

Create an Moving Average Q [MA(Q)] Process

Description

Sets up the necessary backend for the MA(Q) process.

Usage

MA(theta = NULL, sigma2 = 1)

Arguments

theta

A double value for the parameter \theta (see Note for details).

sigma2

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

Value

An S3 object with called ts.model with the following structure:

process.desc

Used in summary: "MA-1","MA-2", ..., "MA-Q", "SIGMA2"

theta

\theta_1, \theta_2, ..., \theta_q, \sigma^2

plength

Number of parameters

desc

"MA"

print

String containing simplified model

obj.desc

Depth of parameters e.g. list(q,1)

starting

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

Note

We consider the following model:

X_t = \sum_{j = 1}^q \theta_j \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

MA(1) # One theta
MA(2) # Two thetas!

MA(theta=.32, sigma=1.3) # 1 theta with a specific value.
MA(theta=c(.3,.5), sigma=.3) # 2 thetas with specific values.