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

In schoi355/gmwm: Generalized Method of Wavelet Moments

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 (φ), Moving Average Coefficients (θ), and σ^2.

Usage

gen_sarma(N, ar, ma, sar, sma, sigma2 = 1.5, s = 12L, n_start = 0L)

Arguments

N	An integer for signal length.
ar	A vec that contains the AR coefficients.
ma	A vec that contains the MA coefficients.
sar	A vec that contains the SAR coefficients.
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

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

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.