SimulateGaussianARMA {FitARMA} | R Documentation |
An exact simulation method is used to simulate Gaussian ARMA models.
SimulateGaussianARMA(phi, theta, n, InnovationVariance = 1, UseC = TRUE)
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. |
The detailed description is given in Hipel and McLeod (1994, 2006).
a vector containing the time series
A.I. McLeod
Hipel, K.W. and McLeod, A.I. (2006). Time Series Modelling of Water Resources and Environmental Systems.
code{arima.sim}
z<-SimulateGaussianARMA(0.9, 0.5, 200) FitARMA(z, c(1,0,1))