gen_generic_sarima: Generate Generic Seasonal Autoregressive Order P - Moving...
In SMAC-Group/simts: Time Series Analysis Tools

gen_generic_sarima

R Documentation

Generate Generic Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model

Description

Generate an ARMA(P,Q) process with supplied vector of Autoregressive Coefficients (\phi), Moving Average Coefficients (\theta), and \sigma^2.

Usage

gen_generic_sarima(N, theta_values, objdesc, sigma2 = 1.5, n_start = 0L)

Arguments

`N`	An `integer` for signal length.
`theta_values`	A `vec` containing the parameters for (S)AR and (S)MA.
`objdesc`	A `vec` that contains the `+.ts.model`'s obj.desc field.
`sigma2`	A `double` that contains process variance.
`n_start`	An `unsigned int` that indicates the amount of observations to be used for the burn in period.

Details

The innovations are generated from a normal distribution. The \sigma^2 parameter is indeed a variance parameter. This differs from R's use of the standard deviation, \sigma.