R: Simulate from an ARIMA Model

arima.sim {ts}

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 coeffcients respectively. Optionally a component `order` can be used.
`n`	length of output series.
`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

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.

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)

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