gen.aruma.wge {tswge}

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)