SARMA {simts} | R Documentation |
Create a Seasonal Autoregressive Moving Average (SARMA) Process
Description
Sets up the necessary backend for the SARMA process.
Usage
SARMA(ar = 1, ma = 1, sar = 1, sma = 1, s = 12, sigma2 = 1)
Arguments
ar |
A |
ma |
A |
sar |
A |
sma |
A |
s |
A |
sigma2 |
A |
Details
A variance is required since the model generation statements utilize randomization functions expecting a variance instead of a standard deviation unlike R.
Value
An S3 object with called ts.model with the following structure:
- process.desc
AR*p
,MA*q
,SAR*P
,SMA*Q
- theta
\sigma
- 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), length(sar), length(sma), 1) )
- starting
Guess Starting values? TRUE or FALSE (e.g. specified value)
Author(s)
James Balamuta
Examples
# Create an SARMA(1,2)x(1,1) process
SARMA(ar = 1, ma = 2,sar = 1, sma =1)
# Creates an SARMA(1,1)x(1,1) process with predefined coefficients.
SARMA(ar=0.23, ma=0.4, sar = .3, sma = .3)