Definition of an ARMA(1,1)
Definition of an ARMA(1,1)
ARMA11(phi = NULL, theta = NULL, sigma2 = 1)
phi |
A |
theta |
A |
sigma2 |
A |
A variance is required since the model generation statements utilize randomization functions expecting a variance instead of a standard deviation like R.
An S3 object with called ts.model with the following structure:
AR1, MA1, SIGMA2
phi, theta, sigma^2
Number of Parameters: 3
String containing simplified model
Depth of Parameters e.g. list(c(1,1,1))
Guess Starting values? TRUE or FALSE (e.g. specified value)
We consider the following model:
X_t = φ X_{t-1} + θ_1 \varepsilon_{t-1} + \varepsilon_t,
where \varepsilon_t is iid from a zero mean normal distribution with variance σ^2.
James Balamuta
# Creates an ARMA(1,1) process with predefined coefficients. ARMA11(phi = .23, theta = .1, sigma2 = 1) # Creates an ARMA(1,1) process with values to be guessed on callibration. ARMA11()
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