SimulateGaussianARMA {FitARMA}R Documentation

Simulate Gaussian ARMA model

Description

An exact simulation method is used to simulate Gaussian ARMA models.

Usage

SimulateGaussianARMA(phi, theta, n, InnovationVariance = 1, UseC = TRUE)

Arguments

phi AR coefficients
theta MA coefficients
n length of series
InnovationVariance innovation variable, default is 1
UseC if UseC=TRUE, use C code. Otherwise, use slower R code.

Details

The detailed description is given in Hipel and McLeod (1994, 2006).

Value

a vector containing the time series

Author(s)

A.I. McLeod

References

Hipel, K.W. and McLeod, A.I. (2006). Time Series Modelling of Water Resources and Environmental Systems.

See Also

code{arima.sim}

Examples

z<-SimulateGaussianARMA(0.9, 0.5, 200)
FitARMA(z, c(1,0,1))


[Package FitARMA version 1.0 Index]