ARMA(p,q) Correlation Structure
Usage
corARMA(value, form, p, q)
Arguments
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 code{~ 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.
|
Description
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 need to be
later initialized using the appropriate initialize method.Value
an object of class corARMA, representing an
autocorrelation-moving average correlation structure.Author(s)
Jose Pinheiro and Douglas BatesReferences
Box, G.E.P., Jenkins, G.M., and Reinsel G.C. (1994) "Time Series
Analysis: Forecasting and Control", 3rd Edition, Holden-Day.See Also
initialize.corStructExamples
library(lme)
## 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)