simGauss
implements the method by Davies and Harte which is
relatively fast using the FFT (fft
) twice.
To simulate ARIMA(p, d, q), (for d in (-1/2, 1,2), you can use
arima.sim(n, model = list(ar= .., ma = ..),
innov= simARMA0(n,H=d+1/2) , n.start = 0)
.
simFGN.fft()
is about twice as fast as simFGN0()
and
uses Paxson's proposal, by default via
B.specFGN(*, k.approx=3, adjust=TRUE)
.