code verifications (EXTRA)/3 - leeg_generation_with_ARMA_structure.R

In rdmatheus/leegarma:

#########################################################################
# AR(1) process simulation                                              #
########################################################################

# AR(1) com phi = 0.1
y.10 <- leegarma_sim(n = 100, model = list(ar = 0.1),
                     alpha = 0.5, delta = 2)

# AR(1) com phi= 0.5
y.50 <- leegarma_sim(n = 100, model = list(ar = 0.5),
                     alpha = 0.5, delta = 2)

# AR(1) com phi= -0.5
y.m50 <- leegarma_sim(n = 100, model = list(ar = -0.5),
                      alpha = 0.5, delta = 2)

# AR(1) com phi= 0.9
y.90 <- leegarma_sim(n = 100, model = list(ar = 0.9),
                     alpha = 0.5, delta = 2)

## Plots
layout(matrix(c(1, 2, 1, 3), 2, 2))
plot(y.10, main = expression(phi == 0.1))
acf(y.10, main = " ")
pacf(y.10, main = " ")
plot(y.50, main = expression(phi == 0.5))
acf(y.50, main = " ")
pacf(y.50, main = " ")
plot(y.m50, main = expression(phi == -0.5))
acf(y.m50, main = " ")
pacf(y.m50, main = " ")
plot(y.90, main = expression(phi == 0.9))
acf(y.90, main = " ")
pacf(y.90, main = " ")
layout(1)

#########################################################################
# AR(2) process simulation                                              #
########################################################################

y <- leegarma_sim(n = 100, model = list(ar = c(-0.5, 0.3)),
                  alpha = 0.5, delta = 2)

## Plot
layout(matrix(c(1, 2, 1, 3), 2, 2))
plot(y, main = "AR(2) process")
acf(y, main = " ")
pacf(y, main = " ")
layout(1)

#########################################################################
# MA(1) process simulation                                              #
########################################################################

y.ma1 <- leegarma_sim(n = 100, model = list(ma = 0.5),
                      alpha = 0.5, delta = 2)

## Plot
layout(matrix(c(1, 2, 1, 3), 2, 2))
plot(y.ma1, main = "MA(1) process")
acf(y.ma1, main = " ")
pacf(y.ma1, main = " ")
layout(1)

#########################################################################
# MA(2) process simulation                                              #
########################################################################

y.ma2 <- leegarma_sim(n = 100, model = list(ma = c(-0.7, 0.5)),
                      alpha = 0.5, delta = 2)

## Plot
layout(matrix(c(1, 2, 1, 3), 2, 2))
plot(y.ma2, main = "MA(1) process")
acf(y.ma2, main = " ")
pacf(y.ma2, main = " ")
layout(1)