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

Description Usage Arguments Details Value Examples

View source: R/RcppExports.R

Description

Generate an ARMA(P,Q) process with supplied vector of Autoregressive Coefficients (φ), Moving Average Coefficients (θ), and σ^2.

Usage

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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 σ^2 parameter is indeed a variance parameter. This differs from R's use of the standard deviation, σ.

Value

A vec that contains the generated observations.

Examples

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gen_sarima(10, c(.3,.5), 1, c(.1), c(.2), 0, c(.4), 1, 12, 0)

SMAC-Group/simts documentation built on May 20, 2018, 5:24 p.m.