Generate an ARIMA(p,d,q) process with supplied vector of Autoregressive Coefficients (\(\phi\)), Integrated \(d\), Moving Average Coefficients (\(\theta\)), and \(\sigma^2\).
gen_arima(N, ar, d, ma, sigma2 = 1.5, n_start = 0L)An integer for signal length.
A vec that contains the AR coefficients.
An integer that indicates a difference.
A vec that contains the MA coefficients.
A double that contains process variance.
An unsigned int that indicates the amount of observations to be used for the burn in period.
A vec that contains the generated observations.
Please note, this function will generate a sum of \(N + d\) number of observations, where \(d\) denotes the number of differences necessary.
The innovations are generated from a normal distribution. The \(\sigma^2\) parameter is indeed a variance parameter. This differs from R's use of the standard deviation, \(\sigma\).