R: ARMA(p,q) correlation structure

cor_arma {brms} | R Documentation

## ARMA(p,q) correlation structure

### Description

This functions is a constructor for the `cor_arma` class, representing an autoregression-moving average correlation structure of order (p, q).

### Usage

    cor_arma(formula = ~1, p = 0, q = 0, r = 0, cov = FALSE)

### Arguments

`formula` | A one sided formula of the form `~ t`, or `~ t | g`, specifying a time covariate `t` and, optionally, a grouping factor `g`. A covariate for this correlation structure must be integer valued. When a grouping factor is present in `formula`, 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 `~ 1`, which corresponds to using the order of the observations in the data as a covariate, and no groups.
`p` | A non-negative integer specifying the autoregressive (AR) order of the ARMA structure. Default is 0.
`q` | A non-negative integer specifying the moving average (MA) order of the ARMA structure. Default is 0.
`r` | A non-negative integer specifying the autoregressive response (ARR) order. See 'Details' for differences of AR and ARR effects. Default is 0.
`cov` | A flag indicating whether ARMA effects should be estimated by means of residual covariance matrices (currently only possible for stationary ARMA effects of order 1). If `FALSE` (the default) a regression formulation is used that is considerably faster and allows for ARMA effects of order higher than 1 but cannot handle user defined standard errors.

### Details

AR refers to autoregressive effects of residuals, which is what is typically understood as autoregressive effects. However, one may also model autoregressive effects of the response variable, which is called ARR in brms.

### Value

An object of class `cor_arma`, representing an autoregression-moving-average correlation structure.

### Author(s)

Paul-Christian Buerkner paul.buerkner@gmail.com

### See Also

`cor_ar, cor_ma, cor_arr`

### Examples

    cor_arma(~visit|patient, p = 2, q = 2)

[Package brms version 2.6.0 Index]