SimMA {PRTest} | R Documentation |
Uses the R function convolve
to compute the moving-average
Provides efficient algorithm for simulating a moving-average process given the
innovations.
SimMA(psi, a)
psi |
vector of MA coefficients starting with 1. |
a |
innovations |
z_t = sum_{k=0}^Q psi_k a_{t-k}
where t=1,...,n and the innovations $a_t, t=1-Q, ..., 0, 1, ..., n$ are given in the input vector a.
Since convolve
uses the FFT this is faster than direct computation.
vector of length n, where n=length(a)-length(psi)
A.I. McLeod
convolve
,
SimulateARMA
,
arima.sim
#Simulate an AR(1) process with parameter phi=0.8 of length n=100 with # innovations from a t-distribution with 5 df and plot it. # psi<-phi^(0:127) n<-100 Q<-length(psi)-1 a<-rt(n+Q,5) z<-SimMA(psi,a) z<-ts(z) plot(z)