gen.aruma.wge {tswge} | R Documentation |
Function to generate an ARUMA (or ARMA or ARIMA) realization
Description
This function calls arima.sim but an a similar manner to gen.ns.arma.wge and gen.ns.arima.wge but allows for generation of realizations from ARUMA models (see Chapter 5 of "Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott
Usage
gen.aruma.wge(n,phi=0,theta=0,d=0,s=0,lambda=0,vara=1,plot=TRUE,sn=0)
Arguments
n |
Length of realization to be generated |
phi |
Vector of AR coefficients |
theta |
Vector of MA coefficients |
d |
Order of the difference |
s |
Order of seasonal operator |
lambda |
Vector of nonstaionary coefficients not associated with d or s (see Def. 5.1(b) in Woodward, Gray, and Elliott text) |
vara |
White noise variance, default=1 |
plot |
Logical: TRUE=plot, FALSE=no plot |
sn |
determines the seed used in the simulation. sn=0 produces new/random realization each time. sn=positive integer produces same realization each time |
Value
This function generates and (optionally plots) an ARMA or ARIMA or ARUMA realization
Author(s)
Wayne Woodward
References
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott
Examples
gen.aruma.wge(n=100,phi=.7,theta=0, d=1, s=4,lambda=c(1.8,-1),vara=1, plot=TRUE)