gen_arma: Generate ARMA

In gmwm: Generalized Method of Wavelet Moments

Description

Generate observations for a supplied ARMA model.

Usage

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

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

gmwm documentation built on April 14, 2017, 4:38 p.m.