ts-models-tvARMA {forecastSNSTS} | R Documentation |
Simulation of an tvARMA(p,q) time series.
Description
Returns a simulated time series that fulfills
the following equation:
where are real-valued functions on
,
is a positive function on
and
is white noise.
Usage
tvARMA(T = 128, a = list(), b = list(), sigma = function(u) {
return(1) }, innov = function(n) { rnorm(n, 0, 1) })
Arguments
T |
length of the time series to be returned |
a |
list of p real-valued functions defined on |
b |
list of q real-valued functions defined on |
sigma |
function |
innov |
a function with one argument |
Value
Returns a tvARMA(p,q) time series with specified parameters.
Examples
## Taken from Section 6 in Dahlhaus (1997, AoS)
a1 <- function(u) {1.8 * cos(1.5 - cos(4 * pi * u))}
a2 <- function(u) {-0.81}
plot(tvARMA(128, a = list(a1, a2), b = list()), type = "l")
[Package forecastSNSTS version 1.3-0 Index]