arima.sim | R Documentation |
Simulate from an ARIMA model.
arima.sim(model, n, rand.gen = rnorm, innov = rand.gen(n, ...), n.start = NA, start.innov = rand.gen(n.start, ...), ...)
model |
A list with component |
n |
length of output series, before un-differencing. A strictly positive integer. |
rand.gen |
optional: a function to generate the innovations. |
innov |
an optional times series of innovations. If not
provided, |
n.start |
length of ‘burn-in’ period. If |
start.innov |
an optional times series of innovations to be used
for the burn-in period. If supplied there must be at least
|
... |
additional arguments for |
See arima
for the precise definition of an ARIMA model.
The ARMA model is checked for stationarity.
ARIMA models are specified via the order
component of
model
, in the same way as for arima
. Other
aspects of the order
component are ignored, but inconsistent
specifications of the MA and AR orders are detected. The
un-differencing assumes previous values of zero, and to remind the
user of this, those values are returned.
Random inputs for the ‘burn-in’ period are generated by calling
rand.gen
.
A time-series object of class "ts"
.
arima
require(graphics) arima.sim(n = 63, list(ar = c(0.8897, -0.4858), ma = c(-0.2279, 0.2488)), sd = sqrt(0.1796)) # mildly long-tailed arima.sim(n = 63, list(ar = c(0.8897, -0.4858), ma = c(-0.2279, 0.2488)), rand.gen = function(n, ...) sqrt(0.1796) * rt(n, df = 5)) # An ARIMA simulation ts.sim <- arima.sim(list(order = c(1,1,0), ar = 0.7), n = 200) ts.plot(ts.sim)
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