arfimapath-methods: function: ARFIMA Path Simulation

Description

Method for simulating the path of an ARFIMA model. This is a convenience function which does not require a fitted object (see note below).

Usage

arfimapath(spec, n.sim = 1000, n.start = 0, m.sim = 1, prereturns = NA, 
	preresiduals = NA, rseed = NA, 
	custom.dist=list(name = NA, distfit = NA, type = "z"), mexsimdata=NULL, ...)

Value

A ARFIMApath object containing details of the ARFIMA path simulation.

Arguments

spec: An ARFIMA object of class ARFIMAspec with the required parameters of the model supplied via the fixed.pars list argument.
n.sim: The simulation horizon.
n.start: The burn-in sample.
m.sim: The number of simulations.
prereturns: Allows the starting return data to be provided by the user.
preresiduals: Allows the starting residuals to be provided by the user.
rseed: Optional seeding value(s) for the random number generator.
custom.dist: Optional density with fitted object from which to simulate. The “type” argument denotes whether the standardized innovations are passed (“z”) else the innovations (anything other than “z”).
mexsimdata: Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this must be provided.
...: .

Author

Alexios Ghalanos

Details

This is a convenience method to allow path simulation of ARFIMA models without the need to supply a fit object as in the arfimasim method. Instead, an arfima spec object is required with the model parameters supplied via the setfixed<- argument to the spec.