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.corStruct
Examples
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)