simts (version 0.1.1)

gen_arima: Generate Autoregressive Order p, Integrated d, Moving Average Order q (ARIMA(p,d,q)) Model

Description

Generate an ARIMA(p,d,q) process with supplied vector of Autoregressive Coefficients ($\varphi$), Integrated $d$, Moving Average Coefficients ($\theta$), and ${\sigma }^2$.

Usage

gen_arima(N, ar, d, ma, sigma2 = 1.5, n_start = 0L)

Arguments

N

An integer for signal length.

ar

A vec that contains the AR coefficients.

d

An integer that indicates a difference.

ma

A vec that contains the MA coefficients.

sigma2

A double that contains process variance.

n_start

An unsigned int that indicates the amount of observations to be used for the burn in period.

Value

A vec that contains the generated observations.

Warning

Please note, this function will generate a sum of $N+d$ number of observations, where $d$ denotes the number of differences necessary.

Details

The innovations are generated from a normal distribution. The ${\sigma }^2$ parameter is indeed a variance parameter. This differs from R's use of the standard deviation, $\sigma$.