R: Create an autoregressive moving average (ARMA) model.
Arma
R Documentation
Create an autoregressive moving average (ARMA) model.
Description
Returns an ARMA model. The model could represent a filter or system model.
Usage
Arma(b, a)
## S3 method for class 'Zpg'
as.Arma(x, ...)
## S3 method for class 'Arma'
as.Arma(x, ...)
## S3 method for class 'Ma'
as.Arma(x, ...)
Arguments
b
moving average (MA) polynomial coefficients.
a
autoregressive (AR) polynomial coefficients.
x
model or filter to be converted to an ARMA representation.
...
additional arguments (ignored).
Details
The ARMA model is defined by:
a(L)y(t) = b(L)x(t)
The ARMA model can define an analog or digital model. The AR and MA
polynomial coefficients follow the Matlab/Octave convention where the
coefficients are in decreasing order of the polynomial (the opposite of
the definitions for filter from the stats package and polyroot from the
base package). For an analog model,