Nothing
require(fracdiff)
## confirm that we guessed right:
## fracdiff.sim(....., d = 0, backComp = FALSE) <===> arima.sim(....)
AR <- c(0.7, -0.1, 0.2)
MA <- c(-0.5, 0.4, 0.4)
n <- 512 ; sd <- 0.1
n.st <- 10
set.seed(1)
for(i in 1:200) {
cat(sprintf("%3d ", i))
p <- sample(0:length(AR), 1)
q <- sample(0:length(MA), 1)
.ar <- AR[seq_len(p)]
.ma <- MA[seq_len(q)]
n.st <- p+q+ rpois(1, lambda = 2)
sid <- round(runif(1)* 1000)
set.seed(sid)
y1 <- arima.sim(list(ar = .ar, ma = .ma), n = n, n.start = n.st, sd = sd)
set.seed(sid)
y2 <- fracdiff.sim(n = n, ar = .ar, ma = - .ma, d = 0,
n.start = n.st, sd = sd, backComp = FALSE)
if(!isTRUE(aeq <- all.equal(c(y1), y2$series, tol = 1e-15)))
cat("y1 and y2 are not equal: ", aeq,"\n")
if(!(i %% 10)) cat("\n")
}
## Last Line:
cat('Time elapsed: ', proc.time(),'\n')
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