fracdiiff.sim: test problem generator for fracdiff
Usage
fracdiff.sim( n, ar, ma, d, mu = 0.)
Arguments
n
|
length of the time series
|
ar
|
vector of autoregressive parameters
|
ma
|
vector of moving average parameters
|
d
|
fractional differencing parameter
|
mu
|
time series mean
|
Description
Generates simulated long-memory time series data from the
ARIMAS(p,d,q) model.Value
a list containing the following elements :
x
|
time series
|
ar
|
same as input
|
ma
|
same as input
|
d
|
same as input
|
mu
|
same as input
|
seed
|
same as input
|
References
J. Haslett and A. E. Raftery, "Space-time Modelling with Long-memory
Dependence: Assessing Ireland's Wind Power Resource (with Discussion)",
Applied Statistics, 38, 1-50.See Also
fracdiff
Examples
fracdiiff.sim( 10000, ar = .2, ma = .4, d = .3)