```
library(simts)
```

In this section, we briefly list, describe, and provide the syntax used to simulate time series data using the `simts`

package. The following list includes some basic models available in this package:

- White Noise
`WN()`

- Quantization Noise
`QN()`

- Random Walk
`RW()`

- Drift
`DR()`

- First-order Autoregressive
`AR1()`

- Autoregressive
`AR()`

- First-order Moving Average
`MA1()`

- Moving Average Process
`MA()`

- Gauss-Markov
`GM()`

- Autoregressive Moving Average
`ARMA()`

- Integrated Autoregressive Moving Average
`ARIMA()`

- Seasonal Autoregressive Integrated Moving Average
`SARIMA()`

- Seasonal Autoregressive Moving Average
`SARMA()`

- Quantization Noise
`QN()`

Quantization Noise is a less known process that is used in engineering applications. It can be described in layperson terms as being a good estimator of a rounding error.

The code below shows how to call the function `gen_gts()`

, which allows the user to generate samples from the above model specifications.

# Set seed for reproducibility set.seed(1337) # Number of observations n = 10^4 # Generate a White Noise Process wn = gen_gts(n, WN(sigma2 = 1)) # Generate a Quantization Noise qn = gen_gts(n, QN(q2 = .5)) # Generate a Random Walk rw = gen_gts(n, RW(gamma2 = .75))

By applying the `plot()`

function on the result of a `gen_gts()`

simulation, we can observe a visualization of our simulated data.

par(mfrow = c(3,1)) plot(wn) plot(qn) plot(rw)

Another example with a SARIMA model is given below:

# Generate an SARIMA(1,0,1)x(2,1,1)[12] sarima = gen_gts(n, SARIMA(ar = 0.3, i = 0, ma = -0.27, sar = c(-0.12, -0.2), si = 1, sma = -0.9, sigma2 = 1.5, s = 12)) # Plot simulation of SARIMA(1,0,1)x(2,1,1)[12] plot(sarima)

The `simts`

package therefore allows users to easily simulate from a wide variety of classical time series models, but does not limit itself to these models. Indeed, under some restrictions, these models can be combined in different ways to deliver many state-space (latent) models which can be represented as the sum of basic models.

`simts`

's user friendly interface allows for easy construction of such linear state-space models. In fact, to specify that a certain model is a combination of different models, all that is needed is the â+â symbol between them. For example, consider the following state-space model:

[\begin{aligned} X_t &= X_{t-1} + \omega + U_t, \;\;\;\;\; U_t \sim \mathcal{N}(0,\gamma^2),\ Y_t &= X_t + Z_t , \;\;\;\;\; Z_t \sim \mathcal{N}(0,\sigma^2), \end{aligned}]

it is easy to see that this model is exactely equivalent to the sum of a random walk (with inivation variance $\gamma^2$), a linear drift (with slope $\omega$) and a white noise process (with variance $\sigma^2$). Therefore, it can easily be simulated as follows:

set.seed(1) model = RW(gamma2 = 0.01) + DR(omega = 0.001) + WN(sigma2 = 1) Yt = gen_gts(model, n = 10^3) plot(Yt)

It is also possible to retrieve and visualize the three latent used to construct such state-space model using the function `gen_lts()`

instead of `gen_gts()`

, as follows:

set.seed(1) model = RW(gamma2 = 0.01) + DR(omega = 0.001) + WN(sigma2 = 1) Yt = gen_lts(model, n = 10^3) plot(Yt)

Consider another example, let us suppose that different AR(1) processes are present in a state-space model. The syntax to insert âkâ of these models into the state-space model is `k*AR1()`

. So, for example, the sum of three AR1 models, a random walk and a white noise process can be given by a simple expression: `3*AR1()+RW()+WN()`

.

Examples of simulating such models are generated below.

# Generate a ARMA(2,1) + WN() arma_wn_model = ARMA(ar = c(0.9, -0.5), ma = 0.3, sigma2 = 1) + WN(sigma = 4) arma_wn_sim = gen_gts(n = n, model = arma_wn_model) # Plot simulation of ARMA(2,1) + WN() plot(arma_wn_sim)

As mentioned earlier, `simts`

provides a function specifically designed to generate and represent latent time series models: `gen_lts()`

. This provides users the option to visualize a breakdown of the underlying processes by applying the `plot()`

function on the result of `gen_lts()`

.

# Generate a SARMA() + WN() sarma_wn_model = SARMA(ar = 0, ma = 0, sar = 0.98, sma = 0, s = 10, sigma2 = 1) + WN(sigma2 = 1) sarma_wn_sim = gen_lts(n = 10^3, model = sarma_wn_model) # Plot simulation of SARMA() + WN() plot(sarma_wn_sim)

To better visualize the contribution to each process by using the sam range on the "y-axis". This can be done with the option `fixed_range = TRUE`

as follows:

plot(sarma_wn_sim, fixed_range = TRUE)

SMAC-Group/simts documentation built on July 23, 2018, 1:15 a.m.

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