Description Usage Arguments Value Author(s) References Examples
Simulation of stationary ARTFIMA, ARFIMA or ARIMA or bootstrap a fitted model. Useful for the parametric bootstrap.
1 2 |
n |
length of time series |
d |
artfima difference parameter, real value greater than zero. If d=0, ARIMA model is used. |
lambda |
lambda artfima temper decay parameter, if lambda=0, ARFIMA model is simulated |
phi |
AR coefficients |
theta |
MA coefficients |
mean |
mean of series |
sigma2 |
innovation variance |
obj |
output from artfima(). If obj is not output from artfima() then the other arguments are used to determine the time series parameters, except for the series length n. |
vector of length n, the simulated time series
A. I. McLeod, aimcleod@uwo.ca
McLeod, A.I., Yu, Hao and Krougly, Z. (2007). Algorithms for Linear Time Series Analysis: With R Package. Journal of Statistical Software 23/5 1-26.
1 2 3 | z <- artsim(5000, d=5/6, lambda=0.045)
var(z)
artfimaTACVF(d=5/6, lambda=0.045, maxlag=1)[1]
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