void ARMASimulate(TVec *p, TVec *t, const int n, TVec *aResult);
Simulate the ARMA (p,q) process.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | p | TVec * | stores the AR coefficients. Length of the p vector defines AR(p) order. |
| 2 | t | TVec * | stores the MA coefficients. Length of the t vector defines MA(q) order. |
| 3 | n | const int | defines number of points to simulate. |
| 4 | aResult | TVec * | returns ARMA (p,q) time series. Size of Result vector is adjusted automatiacally. |
Remarks:
C# Example
Simulate ARMA(1,1) process with Phi=[1.0], Theta=[-0.25].
using Dew.Math;
using Dew.Stats;
using Dew.Stats.Units;
namespace Dew.Examples
{
private void Example()
{
Vector phi = new Vector(0);
Vector theta = new Vector(0);
Vector ts = new Vector(0);
phi.SetIt(false, new double[] {1.0});
theta.SetIt(false,new double[] {-0.25});
StatTimeSerAnalysis.ARMASimulate(phi,theta,100,ts);
// ts now stores 100 points from ARMA(1,1) process.
}
}Examples
#include "MtxExpr.h"
#include "Units.MtxExpr.h"
#include "Units.StatTimeSerAnalysis.h"
using namespace Dew;
using namespace Dew::Math;
using namespace Dew::Stats;
using namespace Dew::Math::Units::MtxExpr;
using namespace Dew::Stats::Units::StatTimeSerAnalysis;
void Example()
{
Vector phi, theta, ts;
phi.SetIt(false, DewArray<double>{1.0});
theta.SetIt(false, DewArray<double>{-0.25});
ARMASimulate(phi, theta, 100, ts);
// ts now stores 100 points from ARMA(1,1) process.
}See Also: StatTimeSerAnalysis::ARIMASimulate
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler