fracdiff.sim {fracdiff} | R Documentation |
Generates simulated long-memory time series data from the ARIMAS(p,d,q) model.
fracdiff.sim( n, ar, ma, d, mu = 0.)
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 |
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 |
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.
fracdiff
fracdiff.sim( 10000, ar = .2, ma = .4, d = .3)