dlm (version 0.7-1)

dlmModARMA: Create a DLM representation of an ARMA process

Description

The function creates an object of class dlm representing a specified univariate or multivariate ARMA process

Usage

dlmModARMA(ar = NULL, ma = NULL, sigma2 = 1, m0, C0, dV)

Arguments

ar

A vector or a list of matrices (in the multivariate case) containing the autoregressive coefficients.

ma

A vector or a list of matrices (in the multivariate case) containing the moving average coefficients.

sigma2

The variance (or variance matrix) of the innovations.

m0

Returned as m0 in the created dlm object. It defaults to a vector of zeroes.

C0

Returned as C0 in the created dlm object. It defaults to a 1e7 * diag(k), where k is the dimension of the state vector in the DLM representation of the specified ARMA model.

dV

The variance, or the diagonal elements of the variance matrix, of the observational noise. V is assumed to be diagonal and it defaults to zero.

Value

• The function returns an object of class dlm representing the ARMA model specified by ar, ma, and sigma2.

Details

What is the name of this representation???

References

Durbin and Koopman, Time series analysis by state space methods, Oxford University Press, 2001.

See Also

dlmModPoly, dlmModSeas, dlmModReg

Examples

## ARMA(2,3)
dlmModARMA(ar = c(.5,.1), ma = c(.4,2,.3), sigma2=1)
## Bivariate ARMA(2,1)
dlmModARMA(ar = list(matrix(1:4,2,2), matrix(101:104,2,2)),
           ma = list(matrix(-4:-1,2,2)), sigma2 = diag(2))