tswge (version 2.1.0)

gen.aruma.wge: Function to generate an ARUMA (or ARMA or ARIMA) realization

Description

This function calls arima.sim but an a similar manner to gen.ns.arma.wge and gen.ns.arima.wge but allows for generation of realizations from ARUMA models (see Chapter 5 of "Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Usage

gen.aruma.wge(n,phi=0,theta=0,d=0,s=0,lambda=0,vara=1,plot=TRUE,sn=0)

Value

This function generates and (optionally plots) an ARMA or ARIMA or ARUMA realization

Arguments

n

Length of realization to be generated

phi

Vector of AR coefficients

theta

Vector of MA coefficients

d

Order of the difference

s

Order of seasonal operator

lambda

Vector of nonstaionary coefficients not associated with d or s (see Def. 5.1(b) in Woodward, Gray, and Elliott text)

vara

White noise variance, default=1

plot

Logical: TRUE=plot, FALSE=no plot

sn

determines the seed used in the simulation. sn=0 produces new/random realization each time. sn=positive integer produces same realization each time

Author

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

gen.aruma.wge(n=100,phi=.7,theta=0, d=1, s=4,lambda=c(1.8,-1),vara=1, plot=TRUE)