tseg {artfima} | R Documentation |
Time series models are simulated based on some familar characteristics described in Details.
tseg(n, which = c("BJAR2", "BJAR1", "BJAR3", "PWAR4", "BJARMA11", "MHAR9",
"NileMin", "SB32"))
n |
length of series |
which |
which model |
BJAR1 is the AR(1) model fit to the sunspot series in BJR BJAR2 is the AR(2) model fit to the sunspot series in BJR BJAR3 is the AR(3) model fit to the sunspot series in BJR BJAR2 is the AR(2) model fit to the sunspot series in BJR PWAR4 is the AR(4) model, PW, BJARMA11 is the ARMA(1,1) model fit to Series A in BJR MHAR9 is the AR(9) model fit to the sunspot series in MHL NileMin is ARFIMA(0,0,0), d=0.39 SB32 is ARTFIMA(0,0,0), d=5/8, lambda=0.045
vector of time series values
A. I. McLeod
BJR) Box, Jenkins and Reinsel (2005), Table 7.11 PW) Percival and Walden, 1990, p.45 MHL) McLeod, Hipel and Lennox, 1978, p.581
z <- tseg(5000, "MHAR9")
arima(z, order=c(9,0,0), fixed=c(NA,NA,0,0,0,0,0,0,NA,NA), transform.pars=FALSE)