Description Usage Arguments Details References Examples
VARFIMA.sim
returns a sample from a VARFIMA(1,1)-process.
1 | VARFIMA.sim(phi, THETA, d.vec, T, Sigma, approx = 100, burnin = 100)
|
phi |
AR(1)-parameter. |
THETA |
MA(1)-matrix. |
d.vec |
vector of memory parameters. |
T |
desired sample size. |
Sigma |
Variance-Covariance-Matrix of the innovations. |
approx |
order of the AR-approximation that is supposed to be used. Default is |
burnin |
length of the burnin period that is discarded. Default is |
add details here.
Lutkepohl, H. (2007): New introduction to multiple time series analysis. Springer.
1 2 3 4 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.