(axpxp) array. (The auto-regressive polynomial array.)
B
(bxpxp) array. (The moving-average polynomial array.)
C
(cxpxm) array. (The input polynomial array.) C should be NULL if
there is no input
Value
An ARMA TSmodel
Details
The ARMA model is defined by:
Ay = Bw + Cu
sometimes written
A(L)y(t) = B(L)w(t) + C(L)u(t)
where
A{(axpxp) is the auto-regressive polynomial array.}
B{(bxpxp) is the moving-average polynomial array.}
C{
(cxpxm) is the input polynomial array. C should be NULL if
there is no input}
y{is the p dimensional output data.}
u{is the m dimensional control (input) data.}