gen_sarima: Generate Seasonal Autoregressive Order P - Moving Average...

View source: R/RcppExports.R

gen_sarimaR Documentation

Generate 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_sarima(N, ar, d, ma, sar, sd, sma, sigma2 = 1.5, s = 12L, n_start = 0L)

Arguments

N

An integer for signal length.

ar

A vec that contains the AR coefficients.

d

An integer that indicates a non-seasonal difference.

ma

A vec that contains the MA coefficients.

sar

A vec that contains the SAR coefficients.

sd

An integer that indicates a seasonal difference.

sma

A vec that contains the SMA coefficients.

sigma2

A double that contains process variance.

s

An integer that contains a seasonal id.

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.

Value

A vec that contains the generated observations.


SMAC-Group/simts documentation built on Sept. 4, 2023, 5:25 a.m.