

corARMA(nlme)                                R Documentation

_A_R_M_A_(_p_,_q_) _C_o_r_r_e_l_a_t_i_o_n _S_t_r_u_c_t_u_r_e

_D_e_s_c_r_i_p_t_i_o_n_:

     This function is a constructor for the `corARMA' class,
     representing an autocorrelation-moving average correla-
     tion structure of order (p, q). Objects created using
     this constructor must later be initialized using the
     appropriate `initialize' method.

_U_s_a_g_e_:

     corARMA(value, form, p, q, fixed)

_A_r_g_u_m_e_n_t_s_:

   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 obser-
          vations 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.

_V_a_l_u_e_:

     an object of class `corARMA', representing an autocor-
     relation-moving average correlation structure.

_A_u_t_h_o_r_(_s_)_:

     Jose Pinheiro and Douglas Bates

_R_e_f_e_r_e_n_c_e_s_:

     Box, G.E.P., Jenkins, G.M., and Reinsel G.C. (1994)
     "Time Series Analysis: Forecasting and Control", 3rd
     Edition, Holden-Day.

_S_e_e _A_l_s_o_:

     `initialize.corStruct'

_E_x_a_m_p_l_e_s_:

     library(nlme)
     ## 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)

