LongMemoryTS (version 0.1.0)

VARFIMA.sim: Simulation of a VARFIMA(1,1) in final equations form.

Description

VARFIMA.sim returns a sample from a VARFIMA(1,1)-process.

Usage

VARFIMA.sim(phi, THETA, d.vec, T, Sigma, approx = 100, burnin = 100)

Arguments

phi

AR(1)-parameter.

THETA

MA(1)-matrix.

d.vec

vector of memory parameters.

T

desired sample size.

Sigma

Variance-Covariance-Matrix of the innovations.

approx

order of the AR-approximation that is supposed to be used. Default is approx=100.

burnin

length of the burnin period that is discarded. Default is burnin=100.

Details

add details here.

References

Lutkepohl, H. (2007): New introduction to multiple time series analysis. Springer.

Examples

# NOT RUN {
series<-VARFIMA.sim(phi=0.4, THETA=matrix(c(0,0,0,0),2,2), 
d.vec=c(0.4,0.3), T=1000, Sigma=matrix(c(1,0.4,0.4,1),2,2))
ts.plot(series, col=1:2)
acf(series, lag=100)
# }