ARMA {dse1} | R Documentation |
Constructs an ARMA TSmodel object as used by the DSE package.
ARMA(A=NULL, B=NULL, C=NULL, TREND=NULL, description=NULL, names=NULL, input.names=NULL, output.names=NULL) is.ARMA(obj)
A |
The auto-regressive polynomial, an axpxp array. |
B |
The moving-average polynomial, an bxpxp array. |
C |
The input polynomial, an cxpxm array. C should be NULL if there is no input |
TREND |
A vector of length a. |
description |
An arbitrary string. |
names |
A list with elements input and output, each a vector of strings. Arguments input.names and output.names should not be used if argument names is used. |
input.names |
A vector of strings. |
output.names |
A vector of strings. |
obj |
Any object. |
The ARMA model is defined by:
Ay = Bw + Cu
sometimes written
A(L)y(t) = B(L)w(t) + C(L)u(t)
where
An ARMA TSmodel
mod1 <- ARMA(A=array(c(1,-.25,-.05), c(3,1,1)), B=array(1,c(1,1,1)))