gen_arma: Generate ARMA

Description

Generate observations for a supplied ARMA model.

Usage

1
gen_arma(N, ar, ma, sigma2 = 1.5, n_start = 0L)

Arguments

N

An integer for signal length.

ar

A vec that contains the AR coefficients.

ma

A vec that contains the MA coefficients.

sigma2

A double that contains process variance.

n_start

An unsigned int that indicates the amount of observations to be used for the burn in period.

Details

The innovations are generated from a normal distribution.

Value

A vec that contains the generated observations.

Examples

1
gen_arma(100, c(.3,.5), c(.1), 1, 0)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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