SimulateGaussianARMA: Simulate Gaussian ARMA model
In FitARMA: Fit ARMA or ARIMA Using Fast MLE Algorithm
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Examples
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
Examples
1
2
z<-SimulateGaussianARMA(0.9, 0.5, 200)
FitARMA(z, c(1,0,1))
FitARMA documentation built on May 2, 2019, 9:33 a.m.
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Description Usage Arguments Details Value Author(s) References See Also Examples
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 |
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
Examples
1 2 | z<-SimulateGaussianARMA(0.9, 0.5, 200)
FitARMA(z, c(1,0,1))
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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