ARMA {dse1}R Documentation

ARMA Model Constructor

Description

Constructs an ARMA TSmodel object as used by the DSE package.

Usage

    ARMA(A=NULL, B=NULL, C=NULL, TREND=NULL, description=NULL,
          names=NULL, input.names=NULL, output.names=NULL)
    is.ARMA(obj)

Arguments

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.

Details

The ARMA model is defined by:

Ay = Bw + Cu

sometimes written

A(L)y(t) = B(L)w(t) + C(L)u(t)

where

A
(axpxp) is the auto-regressive polynomial array.
B
(bxpxp) is the moving-average polynomial array.
C
(cxpxm) is the input polynomial array. C should be NULL if there is no input
y
is the p dimensional output data.
u
is the m dimensional control (input) data.

Value

An ARMA TSmodel

See Also

TSmodel

Examples

    mod1 <- ARMA(A=array(c(1,-.25,-.05), c(3,1,1)), B=array(1,c(1,1,1)))

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