gen_sarima {simts} | R Documentation |
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 (\phi
), Moving Average Coefficients (\theta
), and \sigma^2
.
Usage
gen_sarima(N, ar, d, ma, sar, sd, sma, sigma2 = 1.5, s = 12L, n_start = 0L)
Arguments
N |
An |
ar |
A |
d |
An |
ma |
A |
sar |
A |
sd |
An |
sma |
A |
sigma2 |
A |
s |
An |
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.