dae (version 3.2.21)

mat.arma: Forms an arma correlation matrix

Description

Form the correlation matrix of order order whose correlations follow the arma pattern. The resulting matrix is banded.

Usage

mat.arma(ARparameter, MAparameter, order)

Value

A banded correlation matrix whose elements follow an arma pattern.

Arguments

ARparameter

A numeric value for the autoregressive parameter of the process, being the weight given to the lag 1 response values.

MAparameter

A numeric value for the moving average parameter of the process, being the weight given to the lag 1 random variable.

order

The order of the matrix to be formed.

Author

Chris Brien

Details

The correlations in the correlation matrix, corr say, are calculated from the correlation parameters, ARparameters. The values in

• the diagonal (k = 1) of corr are one;

• the first subdiagonal band (k = 2) of corr are equal to
  ARparameters[1]/(1-ARparameters[2]);

• in subsequent disgonal bands, (k = 3:order), of corr are
  ARparameters[1]*corr[k-1] + ARparameters[2]*corr[k-2].

See Also

mat.I, mat.J, mat.cor, mat.corg, mat.exp, mat.gau, mat.banded, mat.ar1, mat.ar3, mat.sar2, mat.ma1, mat.ma2

Examples

    corr <- mat.arma(ARparameter = 0.4, MAparameter = -0.2, order = 4)