simts (version 0.2.2)

ARMA11: Definition of an ARMA(1,1)

Description

Definition of an ARMA(1,1)

Usage

ARMA11(phi = NULL, theta = NULL, sigma2 = 1)

Value

An S3 object with called ts.model with the following structure:

process.desc

\(AR1\), \(MA1\), \(SIGMA2\)

theta

\(\phi\), \(\theta\), \(\sigma^2\)

plength

Number of Parameters: 3

print

String containing simplified model

obj.desc

Depth of Parameters e.g. list(c(1,1,1))

starting

Guess Starting values? TRUE or FALSE (e.g. specified value)

Arguments

phi

A double containing the parameter \(\phi _1\) (see Note for details).

theta

A double containing the parameter \(\theta _1\) (see Note for details).

sigma2

A double value for the parameter \(\sigma^2\) (see Note for details).

Author

James Balamuta

Details

A variance is required since the model generation statements utilize randomization functions expecting a variance instead of a standard deviation like R.

Examples

# Creates an ARMA(1,1) process with predefined coefficients.
ARMA11(phi = .23, theta = .1, sigma2 = 1)

# Creates an ARMA(1,1) process with values to be guessed on callibration.
ARMA11()