gen_arima {simts} | R Documentation |
Generate Autoregressive Order p, Integrated d, Moving Average Order q (ARIMA(p,d,q)) Model
Description
Generate an ARIMA(p,d,q) process with supplied vector of Autoregressive Coefficients (\phi
), Integrated d
, Moving Average Coefficients (\theta
), and \sigma^2
.
Usage
gen_arima(N, ar, d, ma, sigma2 = 1.5, n_start = 0L)
Arguments
N |
An |
ar |
A |
d |
An |
ma |
A |
sigma2 |
A |
n_start |
An |
Details
The innovations are generated from a normal distribution.
The \sigma^2
parameter is indeed a variance parameter.
This differs from R's use of the standard deviation, \sigma
.
Value
A vec
that contains the generated observations.
Warning
Please note, this function will generate a sum of N + d
number of observations,
where d
denotes the number of differences necessary.