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rugarch (version 1.0-3)

arfimasim-methods: function: ARFIMA Simulation

Description

Method for simulation from ARFIMA models.

Usage

arfimasim(fit, n.sim = 1000, n.start = 0, m.sim = 1, startMethod = 
	c("unconditional", "sample"), prereturns = NA, preresiduals = NA, 
	rseed = NA, custom.dist = list(name = NA, distfit = NA, type = "z"), 
	mexsimdata = NULL, ...)

Arguments

fit
An ARFIMA fit object of class ARFIMAfit.
n.sim
The simulation horizon.
n.start
The burn-in sample.
m.sim
The number of simulations.
startMethod
Starting values for the simulation.
prereturns
Allows the starting return data to be provided by the user.
preresiduals
Allows the starting residuals to be provided by the user.
rseed
Optional seeding value(s) for the random number generator.
custom.dist
Optional density with fitted object from which to simulate. The type argument denotes whether the standardized innovations are passed (z) else the innovations (anything other than z). See notes belo
mexsimdata
Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this can be provided else will be ignored.
...
.

Value

  • A ARFIMAsim object containing details of the ARFIMA simulation.

Details

The custom.dist option allows for defining a custom density which exists in the users workspace with methods for r (sampling, e.g. rnorm) and d (density e.g. dnorm). It must take a single fit object as its second argument. Alternatively, custom.dist can take any name in the name slot (e.g.sample) and a matrix in the fit slot with dimensions equal to m.sim (columns) and n.sim (rows).