Simulate Gaussian ARMA model

Description

An exact simulation method is used to simulate Gaussian ARMA models.

Usage

SimulateGaussianARMA(phi, theta, n, InnovationVariance = 1, UseC = TRUE)

Arguments

Details

The detailed description is given in Hipel and McLeod (1994, 2006).

Value

a vector containing the time series

Author(s)

A.I. McLeod

References

Hipel, K.W. and McLeod, A.I. (2006). Time Series Modelling of Water Resources and Environmental Systems.

See Also

arima.sim

Examples

z<-SimulateGaussianARMA(0.9, 0.5, 200)
FitARMA(z, c(1,0,1))

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(FitARMA)
Loading required package: FitAR
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/FitARMA/SimulateGaussianARMA.Rd_%03d_medium.png", width=480, height=480)
> ### Name: SimulateGaussianARMA
> ### Title: Simulate Gaussian ARMA model
> ### Aliases: SimulateGaussianARMA
> ### Keywords: ts
> 
> ### ** Examples
> 
> z<-SimulateGaussianARMA(0.9, 0.5, 200)
> FitARMA(z, c(1,0,1))
ARIMA(1,0,1)
length of series = 200 ,  number of parameters = 3
loglikelihood = -11.86 ,  aic = 29.7 ,  bic =  39.6
> 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>