WaveletComp (version 1.0)

ARIMA: Simulation of an ARIMA(p,0,q) surrogate for a given time series x

Description

It simulates an ARIMA(p,0,q) surrogate for the time series x analyzed by wavelet transformation using either function analyze.wavelet or function analyze.coherency. A set of surrogates is used for significance assessment to test the hypothesis of equal periodic components.

Simulation is subject to parameters concerning: AR and MA order, an indicator of mean/intercept term inclusion, a boosting factor which is applied to the residual standard deviation, an indicator to trim the data according to the given trimming proportion (i.e. to restrict them to the interval between the lower and upper quantile corresponding to the given probability).

Usage

ARIMA(x, params =  list(ARIMA = list(p = 1, q = 1,  include.mean = T, sd.fac = 1,  trim = F, trim.prop = 0.01)))

Arguments

x

the given time series

params

a list containing an assignment of parameter values to ARIMA. Default: NULL. Default includes: ARIMA = list(p=1, q=1, include.mean=T, sd.fac=1, trim = F, trim.prop = 0.01), where:

	p	:
AR order		q
:	MA order
include.mean	:	Include a mean/intercept term?
	sd.fac	:
magnification factor to boost the
	residual standard deviation
trim	:	Simulate trimmed data?

Value

A surrogate series for x is returned which has the same length and properties according to estimates resulting from the given ARIMA setting.

Details

Basics of model estimation and simulation are provided by application of the R functions arima and arima.sim.

See Also

analyze.wavelet, analyze.coherency, SurrogateData, AR, FourierRand