Simulate Gaussian ARMA model

Description

An exact simulation method is used to simulate Gaussian ARMA models.

Usage

1
SimulateGaussianARMA(phi, theta, n, InnovationVariance = 1, UseC = TRUE)

Arguments

phi

AR coefficients

theta

MA coefficients

n

length of series

InnovationVariance

innovation variable, default is 1

UseC

if UseC=TRUE, use C code. Otherwise, use slower R code.

Details

The detailed description is given in Hipel and McLeod (1994, 2006).

Value

a vector containing the time series

Author(s)

A.I. McLeod

References

Hipel, K.W. and McLeod, A.I. (2006). Time Series Modelling of Water Resources and Environmental Systems.

See Also

arima.sim

Examples

1
2
z<-SimulateGaussianARMA(0.9, 0.5, 200)
FitARMA(z, c(1,0,1))