simts: gen_arima – R documentation

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gen_arima

Generate Autoregressive Order p, Integrated d, Moving Average Order q (ARIMA(p,d,q)) Model

Description

Generate an ARIMA(p,d,q) process with supplied vector of Autoregressive Coefficients (φ), Integrated d, Moving Average Coefficients (θ), and σ^2.

Usage

gen_arima(N, ar, d, ma, sigma2 = 1.5, n_start = 0L)

Arguments

`N`	An `integer` for signal length.
`ar`	A `vec` that contains the AR coefficients.
`d`	An `integer` that indicates a difference.
`ma`	A `vec` that contains the MA coefficients.
`sigma2`	A `double` that contains process variance.
`n_start`	An `unsigned int` that indicates the amount of observations to be used for the burn in period.

Details

The innovations are generated from a normal distribution. The σ^2 parameter is indeed a variance parameter. This differs from R's use of the standard deviation, σ.

Value

A vec that contains the generated observations.

Warning

Please note, this function will generate a sum of N + d number of observations, where d denotes the number of differences necessary.

simts

Time Series Analysis Tools

v0.1.1

AGPL-3 | file LICENSE

Authors

Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]

Initial release

2019-07-21