Description Usage Arguments Details Value Author(s)
Method for simulating the path of an ARFIMA model. This is a convenience function which does not require a fitted object (see note below).
1 2 |
spec |
An ARFIMA object of class |
n.sim |
The simulation horizon. |
n.start |
The burn-in sample. |
m.sim |
The number of simulations. |
prereturns |
Allows the starting return data to be provided by the user. |
preresiduals |
Allows the starting residuals to be provided by the user. |
rseed |
Optional seeding value(s) for the random number generator. |
custom.dist |
Optional density with fitted object from which to simulate. The “type” argument denotes whether the standardized innovations are passed (“z”) else the innovations (anything other than “z”). |
mexsimdata |
Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this must be provided. |
... |
. |
This is a convenience method to allow path simulation of ARFIMA models without
the need to supply a fit object as in the arfimasim
method. Instead,
an arfima spec object is required with the model parameters supplied via the fixed.pars
argument.
A ARFIMApath
object containing details of the ARFIMA path simulation.
Alexios Ghalanos
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