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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)