sim.urarima: Generate Unit-root ARIMA Possibly Seasonal Time Series
Description
Generate Unit-root ARIMA, possibly, seasonal time series.
Usage
sim.urarima(
T = 300,
ar = c(0.5),
ma = c(-0.5),
d = 1,
sar = NULL,
sma = NULL,
D = 0,
period = 12,
ini = 200,
df = 50
)
Arguments
T
Number of observations.
ar
Vector with the autoregressive coefficients. Default value is 0.5.
ma
Vector with the moving average coefficients. Default value is -0.5.
d
Order of first-differencing. Default value is 1.
sar
Seasonal autoregressive coefficients. Default is NULL.
sma
Seasonal moving average coefficients. Default is NULL.
D
Order of seasonal differencing. Default value is 0.
period
Seasonal period. Default value is 12.
ini
Length of <U+2018>burn-in<U+2019> period. Default value is 200.
df
If df \(\geq 50\) random generation for the
Normal distribution, if df \(< 50\) random generation for the t distribution with df degrees
of freedom. Default value is 50.