garma_gen: Generate from generalized ARMA

Description Usage Arguments Details Value Author(s)

Description

Generate a sample series from a specified generalized ARMA model.

Usage

1
garma.gen(n, U, p, q, S1 = NULL, S2 = NULL, phi = NULL, psi = NULL, tau1 = NULL, tau2 = NULL, noise = 1)

Arguments

n

length of series

U

number of data points burned-in

p

number of regular AR components

q

number of regular MA components

S1

a set of lag orders of additional AR components

S2

a set of lag orders of additional MA components

phi

coefficients of regular AR components

psi

coefficients of regular MA components

tau1

coefficients of additional AR components

tau2

coefficients of additional MA components

noise

standard deviation of white noise

Details

Please note that the generator will automatically filter the generated series: those diverge dramatically will be ignored. However, it still does not gaurantee stationarity.

Value

X

generated series in a n by 1 matrix

p

number of regular AR components

q

number of regular MA components

S1

a set of lag orders of additional AR components

S2

a set of lag orders of additional MA components

beta

coefficients vector

Author(s)

Tianyang Xie


JieGroup/tsms documentation built on Sept. 15, 2020, 10:39 a.m.