simts: gen_sarma – R documentation

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gen_sarma

Generate Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model

Description

Generate an ARMA(P,Q) process with supplied vector of Autoregressive Coefficients (φ), Moving Average Coefficients (θ), and σ^2.

Usage

gen_sarma(N, ar, ma, sar, sma, sigma2 = 1.5, s = 12L, n_start = 0L)

Arguments

`N`	An `integer` for signal length.
`ar`	A `vec` that contains the AR coefficients.
`ma`	A `vec` that contains the MA coefficients.
`sar`	A `vec` that contains the SAR coefficients.
`sma`	A `vec` that contains the SMA coefficients.
`sigma2`	A `double` that contains process variance.
`s`	An `integer` that contains a seasonal id.
`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.

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