corARMA {nlme} | R Documentation |
This function is a constructor for the corARMA
class,
representing an autocorrelation-moving average correlation structure
of order (p, q). Objects created using this constructor must later
be initialized using the appropriate Initialize
method.
corARMA(value, form, p, q, fixed)
value |
a vector with the values of the autoregressive and moving
average parameters, which must have length p + q and all
elements between -1 and 1. Defaults to a vector of zeros,
corresponding to uncorrelated observations. |
form |
a one sided formula of the form ~ t , or ~ t |
g , specifying a time covariate t and, optionally, a
grouping factor g . A covariate for this correlation structure
must be integer valued. When a grouping factor is present in
form , the correlation structure is assumed to apply only
to observations within the same grouping level; observations with
different grouping levels are assumed to be uncorrelated. Defaults to
~ 1 , which corresponds to using the order of the observations
in the data as a covariate, and no groups. |
p, q |
non-negative integers specifying respectively the
autoregressive order and the moving average order of the ARMA
structure. Both default to 0. |
fixed |
an optional logical value indicating whether the
coefficients should be allowed to vary in the optimization, or kept
fixed at their initial value. Defaults to FALSE , in which case
the coefficients are allowed to vary. |
an object of class corARMA
, representing an
autocorrelation-moving average correlation structure.
Jose Pinheiro Jose.Pinheiro@pharma.novartis.com and Douglas Bates bates@stat.wisc.edu
Box, G.E.P., Jenkins, G.M., and Reinsel G.C. (1994) "Time Series Analysis: Forecasting and Control", 3rd Edition, Holden-Day.
## ARMA(1,2) structure, with observation order as a covariate and ## Mare as grouping factor cs1 <- corARMA(c(0.2, 0.3, -0.1), form = ~ 1 | Mare, p = 1, q = 2)