arfimasim-methods: function: ARFIMA Simulation

Description Usage Arguments Details Value Author(s)

Description

Method for simulation from ARFIMA models.

Usage

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arfimasim(fit, n.sim = 1000, n.start = 0, m.sim = 1, startMethod = 
	c("unconditional", "sample"), prereturns = NA, preresiduals = NA, 
	rseed = NA, custom.dist = list(name = NA, distfit = NA, type = "z"), 
	mexsimdata = NULL, ...) 

Arguments

fit

An ARFIMA fit object of class ARFIMAfit.

n.sim

The simulation horizon.

n.start

The burn-in sample.

m.sim

The number of simulations.

startMethod

Starting values for the simulation.

prereturns

Allows the starting return data to be provided by the user.

preresiduals

Allows the starting residuals to be provided by the user.

rseed

Optional seeding value(s) for the random number generator.

custom.dist

Optional density with fitted object from which to simulate. The “type” argument denotes whether the standardized innovations are passed (“z”) else the innovations (anything other than “z”). See notes below for details.

mexsimdata

Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this can be provided else will be ignored.

...

.

Details

The custom.dist option allows for defining a custom density which exists in the users workspace with methods for “r” (sampling, e.g. rnorm) and “d” (density e.g. dnorm). It must take a single fit object as its second argument. Alternatively, custom.dist can take any name in the name slot (e.g.“sample”) and a matrix in the fit slot with dimensions equal to m.sim (columns) and n.sim (rows).

Value

A ARFIMAsim object containing details of the ARFIMA simulation.

Author(s)

Alexios Ghalanos


rugarch documentation built on Feb. 5, 2018, 1:01 a.m.