rARMA {pdSpecEst} | R Documentation |
Simulate vARMA(2,2) time series
Description
rARMA
generates d
-dimensional time series observations from a vARMA(2,2)
(vector-autoregressive-moving-average) process based on Gaussian white noise for testing and simulation
purposes.
Usage
rARMA(n, d, Phi, Theta, Sigma, burn = 100, freq = NULL)
Arguments
n |
number of time series observations to be generated. |
d |
dimension of the multivariate time series. |
Phi |
a ( |
Theta |
a ( |
Sigma |
the covariance matrix of the Gaussian white noise component. |
burn |
a burn-in period when generating the time series observations, by default |
freq |
an optional vector of frequencies, if |
Value
The function returns a list with two components:
X |
generated time series observations, the |
f |
if |
References
Brockwell P, Davis R (2006). Time Series: Theory and Methods. Springer, New York.
Examples
## ARMA(1,1) process: Example 11.4.1 in (Brockwell and Davis, 1991)
freq <- seq(from = pi / 100, to = pi, length = 100)
Phi <- array(c(0.7, 0, 0, 0.6, rep(0, 4)), dim = c(2, 2, 2))
Theta <- array(c(0.5, -0.7, 0.6, 0.8, rep(0, 4)), dim = c(2, 2, 2))
Sigma <- matrix(c(1, 0.71, 0.71, 2), nrow = 2)
ts.sim <- rARMA(200, 2, Phi, Theta, Sigma, freq = freq)
ts.plot(ts.sim$X) # plot generated time series traces.