gsarima-package: Two functions for Generalized SARIMA time series simulation
Description
Write SARIMA models in (finite) AR representation and simulate generalized multiplicative seasonal autoregressive moving average (time) seriesDetails
ll{
Package: gsarima
Type: Package
Version: 0.1-3
Date: 2013-01-16
License: GPL (>= 2)
LazyLoad: yes
}
Use arrep() for converting the SARIMA function into AR representation, and use garsim() to simulate.References
Brandt PT, Williams JT: A linear Poisson autoregressive model: The PAR(p). Political Analysis 2001, 9.
Benjamin MA, Rigby RA, Stasinopoulos DM: Generalized Autoregressive Moving Average Models. Journal of the American Statistical Association 2003, 98:214-223.
Zeger SL, Qaqish B: Markov regression models for time series: a quasi-likelihood approach. Biometrics 1988, 44:1019-1031
Grunwald G, Hyndman R, Tedesco L, Tweedie R: Non-Gaussian conditional linear AR(1) models. Australian & New Zealand Journal of Statistics 2000, 42:479-495.