R: Simulate from an ARIMA Model

arima.sim {stats}

R Documentation

Simulate from an ARIMA Model

Description

Simulate from an ARIMA model.

Usage

arima.sim(model, n, rand.gen = rnorm, innov = rand.gen(n, ...),
          n.start = NA, ...)

Arguments

model

A list with component ar and/or ma giving the AR and MA coefficients respectively. Optionally a component order can be used. An empty list gives an ARIMA(0, 0, 0) model, that is white noise.

n

length of output series, before un-differencing.

rand.gen

optional: a function to generate the innovations.

innov

an optional times series of innovations. If not provided, rand.gen is used.

n.start

length of “burn-in” period. If NA, the default, a reasonable value is computed.

...

additional arguments for rand.gen. Most usefully, the standard deviation of the innovations generated by rnorm can be specified by sd.

Details

See arima for the precise definition of an ARIMA model.

The ARMA model is checked for stationarity.

ARIMA models are specified via the order component of model, in the same way as for arima. Other aspects of the order component are ignored, but inconsistent specifications of the MA and AR orders are detected. The un-differencing assumes previous values of zero, and to remind the user of this, those values are returned.

Value

A time-series object of class "ts".

Examples

arima.sim(n = 63, list(ar = c(0.8897, -0.4858), ma = c(-0.2279, 0.2488)),
          sd = sqrt(0.1796))
# mildly long-tailed
arima.sim(n = 63, list(ar=c(0.8897, -0.4858), ma=c(-0.2279, 0.2488)),
          rand.gen = function(n, ...) sqrt(0.1796) * rt(n, df = 5))

# An ARIMA simulation
ts.sim <- arima.sim(list(order = c(1,1,0), ar = 0.7), n = 200)
ts.plot(ts.sim)

[Package stats version 2.1.1 ]