FitARMA (version 1.6.1)

SimulateGaussianARMA: 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

phi

AR coefficients

theta

MA coefficients

n

length of series

InnovationVariance

innovation variable, default is 1

UseC

if UseC=TRUE, use C code. Otherwise, use slower R code.

Value

a vector containing the time series

Details

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

References

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

See Also

arima.sim

Examples

# NOT RUN {
z<-SimulateGaussianARMA(0.9, 0.5, 200)
FitARMA(z, c(1,0,1))

# }