EVOLUTION-MANAGER
Edit File: corARMA.html
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"><html xmlns="http://www.w3.org/1999/xhtml"><head><title>R: ARMA(p,q) Correlation Structure</title> <meta http-equiv="Content-Type" content="text/html; charset=utf-8" /> <link rel="stylesheet" type="text/css" href="R.css" /> </head><body> <table width="100%" summary="page for corARMA {nlme}"><tr><td>corARMA {nlme}</td><td style="text-align: right;">R Documentation</td></tr></table> <h2>ARMA(p,q) Correlation Structure</h2> <h3>Description</h3> <p>This function is a constructor for the <code>corARMA</code> class, representing an autocorrelation-moving average correlation structure of order (p, q). Objects created using this constructor must later be initialized using the appropriate <code>Initialize</code> method. </p> <h3>Usage</h3> <pre> corARMA(value, form, p, q, fixed) </pre> <h3>Arguments</h3> <table summary="R argblock"> <tr valign="top"><td><code>value</code></td> <td> <p>a vector with the values of the autoregressive and moving average parameters, which must have length <code>p + q</code> and all elements between -1 and 1. Defaults to a vector of zeros, corresponding to uncorrelated observations.</p> </td></tr> <tr valign="top"><td><code>form</code></td> <td> <p>a one sided formula of the form <code>~ t</code>, or <code>~ t | g</code>, specifying a time covariate <code>t</code> and, optionally, a grouping factor <code>g</code>. A covariate for this correlation structure must be integer valued. When a grouping factor is present in <code>form</code>, the correlation structure is assumed to apply only to observations within the same grouping level; observations with different grouping levels are assumed to be uncorrelated. Defaults to <code>~ 1</code>, which corresponds to using the order of the observations in the data as a covariate, and no groups.</p> </td></tr> <tr valign="top"><td><code>p, q</code></td> <td> <p>non-negative integers specifying respectively the autoregressive order and the moving average order of the <code>ARMA</code> structure. Both default to 0.</p> </td></tr> <tr valign="top"><td><code>fixed</code></td> <td> <p>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 <code>FALSE</code>, in which case the coefficients are allowed to vary.</p> </td></tr> </table> <h3>Value</h3> <p>an object of class <code>corARMA</code>, representing an autocorrelation-moving average correlation structure. </p> <h3>Author(s)</h3> <p>José Pinheiro and Douglas Bates <a href="mailto:bates@stat.wisc.edu">bates@stat.wisc.edu</a></p> <h3>References</h3> <p>Box, G.E.P., Jenkins, G.M., and Reinsel G.C. (1994) "Time Series Analysis: Forecasting and Control", 3rd Edition, Holden-Day. </p> <p>Pinheiro, J.C., and Bates, D.M. (2000) "Mixed-Effects Models in S and S-PLUS", Springer, esp. pp. 236, 397. </p> <h3>See Also</h3> <p><code><a href="corAR1.html">corAR1</a></code>, <code><a href="corClasses.html">corClasses</a></code> <code><a href="Initialize.corStruct.html">Initialize.corStruct</a></code>, <code><a href="summary.corStruct.html">summary.corStruct</a></code> </p> <h3>Examples</h3> <pre> ## ARMA(1,2) structure, with observation order as a covariate and ## Mare as grouping factor cs1 <- corARMA(c(0.2, 0.3, -0.1), form = ~ 1 | Mare, p = 1, q = 2) # Pinheiro and Bates, p. 237 cs1ARMA <- corARMA(0.4, form = ~ 1 | Subject, q = 1) cs1ARMA <- Initialize(cs1ARMA, data = Orthodont) corMatrix(cs1ARMA) cs2ARMA <- corARMA(c(0.8, 0.4), form = ~ 1 | Subject, p=1, q=1) cs2ARMA <- Initialize(cs2ARMA, data = Orthodont) corMatrix(cs2ARMA) # Pinheiro and Bates use in nlme: # from p. 240 needed on p. 396 fm1Ovar.lme <- lme(follicles ~ sin(2*pi*Time) + cos(2*pi*Time), data = Ovary, random = pdDiag(~sin(2*pi*Time))) fm5Ovar.lme <- update(fm1Ovar.lme, corr = corARMA(p = 1, q = 1)) # p. 396 fm1Ovar.nlme <- nlme(follicles~ A+B*sin(2*pi*w*Time)+C*cos(2*pi*w*Time), data=Ovary, fixed=A+B+C+w~1, random=pdDiag(A+B+w~1), start=c(fixef(fm5Ovar.lme), 1) ) # p. 397 fm3Ovar.nlme <- update(fm1Ovar.nlme, corr=corARMA(p=0, q=2) ) </pre> <hr /><div style="text-align: center;">[Package <em>nlme</em> version 3.1-139 <a href="00Index.html">Index</a>]</div> </body></html>