Description Usage Arguments Details Value Author(s)
Generate a sample series from a specified generalized ARMA model.
1 |
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 |
Please note that the generator will automatically filter the generated series: those diverge dramatically will be ignored. However, it still does not gaurantee stationarity.
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 |
Tianyang Xie
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