artfima (version 1.3)

artsim: Simulation of stationary ARTFIMA

Description

Simulation of stationary ARTFIMA or bootstrap a fitted model.

Usage

artsim(n = 100, d = 0, lambda = 0, phi = numeric(0), 
    theta = numeric(0), mean = 0, sigma2 = 1, obj = NULL)

Arguments

n

length of time series

d

artfima difference parameter, real value greater than zero. If d=0, ARFIMA model is used.

lambda

lambda artfima temper decay parameter

phi

AR coefficients

theta

MA coefficients

mean

mean of series

sigma2

innovation variance

obj

output from artfima(). If obj is not output from artfima() then the other arguments are used to determine the time series parameters, except for the series length n.

Value

• vector of length n, the simulated time series

References

TBA

Examples

z <- artsim(5000, d=5/6, lambda=0.045)
var(z)
tacvfARTFIMA(d=5/6, lambda=0.045, maxlag=1)[1]