Generate an ARMA(P,Q) process with supplied vector of Autoregressive Coefficients (\(\phi\)), Moving Average Coefficients (\(\theta\)), and \(\sigma^2\).
gen_sarma(N, ar, ma, sar, sma, sigma2 = 1.5, s = 12L, n_start = 0L)An integer for signal length.
A vec that contains the AR coefficients.
A vec that contains the MA coefficients.
A vec that contains the SAR coefficients.
A vec that contains the SMA coefficients.
A double that contains process variance.
An integer that contains a seasonal id.
An unsigned int that indicates the amount of observations to be used for the burn in period.
A vec that contains the generated observations.
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, \(\sigma\).