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, start.innov = rand.gen(n.start, ...),
          ...)

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. A strictly positive integer.
`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.
`start.innov`	an optional times series of innovations to be used for the burn-in period. If supplied there must be at least `n.start` values (and `n.start` is by default computed inside the function).
`...`	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.

Random inputs for the ‘burn-in’ period are generated by calling rand.gen.

Value

A time-series object of class "ts".

Examples

require(graphics)

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 3.4.1 Index]