Method for simulation from ARFIMA models.
arfimasim(fit, n.sim = 1000, n.start = 0, m.sim = 1, startMethod =
c("unconditional", "sample"), prereturns = NA, preresiduals = NA,
rseed = NA, custom.dist = list(name = NA, distfit = NA, type = "z"),
mexsimdata = NULL, ...)A ARFIMAsim object containing details of the ARFIMA
simulation.
An ARFIMA fit object of class ARFIMAfit.
The simulation horizon.
The burn-in sample.
The number of simulations.
Starting values for the simulation.
Allows the starting return data to be provided by the user.
Allows the starting residuals to be provided by the user.
Optional seeding value(s) for the random number generator.
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”). See notes below for details.
Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this can be provided else will be ignored.
.
Alexios Ghalanos
The custom.dist option allows for defining a custom density which exists in the users workspace with methods for “r” (sampling, e.g. rnorm) and “d” (density e.g. dnorm). It must take a single fit object as its second argument. Alternatively, custom.dist can take any name in the name slot (e.g.“sample”) and a matrix in the fit slot with dimensions equal to m.sim (columns) and n.sim (rows).