Nothing
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2, or (at your option)
# any later version.
#
# This program is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
# General Public License for more details.
#
# A copy of the GNU General Public License is available via WWW at
# http://www.gnu.org/copyleft/gpl.html. You can also obtain it by
# writing to the Free Software Foundation, Inc., 59 Temple Place,
# Suite 330, Boston, MA 02111-1307 USA.
################################################################################
# FUNCTIONS: FARIMA PROCESS:
# farimaSim Generates FARIMA time series process
################################################################################
farimaSim =
function(n = 1000, model = list(ar = c(0.5, -0.5), d = 0.3, ma = 0.1),
method = c("freq", "time"), ...)
{ # A function implemented by Diethelm Wuertz
# Description:
# Simulates a FARMA Time Series Process
# Note:
# Splus-Like argument list
# Example:
# armaSim(model = list(ar = c(0.5, -0.5), d = 0.2, ma = 0.1))
# armaSim(model = list(d = 0.2, ma = 0))
# armaSim(model = list(d = 0.2))
# FUNCTION:
# Settings:
innov = NULL
n.start = 100
start.innov = NULL
rand.gen = rnorm
# Simulate:
if (!is.list(model))
stop("model must be list")
if (is.null(innov))
innov = rand.gen(n, ...)
n = length(innov)
if (is.null(start.innov))
start.innov = rand.gen(n, ...)
n.start = length(start.innov)
# AR PART:
p = length(model$ar)
if (p == 1 && model$ar == 0)
p = 0
if (p) {
minroots = min(Mod(polyroot(c(1, -model$ar))))
if (minroots <= 1) stop("ar part of model is not stationary")
}
# MA PART:
q = length(model$ma)
if (q == 1 && model$ma == 0)
q = 0
if (n.start < p + q)
stop("burn-in must be as long as ar + ma")
# DIFFERENCING:
## if (model$d < 0) stop("d must be positive ")
dd = length(model$d)
if (dd) {
# FRACDIFF if "dd" is a non-integer value:
d = model$d
if (d != round(d) ) {
TSMODEL = "FRACDIFF"
} else {
TSMODEL = "ARIMA" }
} else {
d = 0
TSMODEL = "ARIMA"
}
# ARMA:
if (TSMODEL == "ARIMA") {
stop("d is a short range model")
}
if (TSMODEL == "FRACDIFF") {
if (p == 0) model$ar = 0
if (q == 0) model$ma = 0
mu = 0
# Use Fortran Routine from R's contributed fracdiff package:
# This is a BUILTIN function ...
x = .Fortran("fdsim", as.integer(n), as.integer(p), as.integer(q),
as.double(model$ar), as.double(model$ma), as.double(model$d),
as.double(mu), as.double(rnorm(n + q)), x = double(n + q),
as.double(.Machine$double.xmin), as.double(.Machine$double.xmax),
as.double(.Machine$double.neg.eps), as.double(.Machine$double.eps),
PACKAGE = "fArma")$x[1:n]
}
# Return Value:
ans = as.ts(x)
attr(ans, "control") <- c(method = method, model = unlist(model))
ans
}
################################################################################
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.