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 must later
be initialized using the appropriate initialize method.
Usage
corARMA(value, form, p, q, fixed)
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 ~ 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
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.
Value
an object of class corARMA, representing an
autocorrelation-moving average correlation structure.
References
Box, G.E.P., Jenkins, G.M., and Reinsel G.C. (1994) "Time Series
Analysis: Forecasting and Control", 3rd Edition, Holden-Day.
## ARMA(1,2) structure, with observation order as a covariate and## Mare as grouping factorcs1 <- corARMA(c(0.2, 0.3, -0.1), form = ~ 1 | Mare, p = 1, q = 2)