get.ARMA.data: Generates data from an ARMA(p,q) model with iid Normal...

In gregorkb/tscourse: Contains several functions for time series analysis.

Generates data from an ARMA(p,q) model with iid Normal innovations.

Description

Generates data from an ARMA(p,q) model with iid Normal innovations.

Usage

get.ARMA.data(phi = NULL, theta = NULL, sigma = 1, n, trun = 500)

Arguments

phi	a vector with autoregressive coefficients.
theta	a vector the moving average coefficients.
sigma	the white noise variance.
n	the length of the realization to be generated.
trun	the number of terms to keep in the causal representation of the model, which is used to generate the data.

Value

a length-n realization of the time series.

This function generates a length-n realization from a causal invertible ARMA(p,q) model with iid Normal innovations.

gregorkb/tscourse documentation built on Oct. 3, 2022, 5:31 p.m.