StatTimeSerAnalysis::ARMASimulate Function

StatTimeSerAnalysis Namespace

void ARMASimulate(TVec *p, TVec *t, const int n, TVec *aResult);

Simulate the ARMA (p,q) process.

#NameTypeDescription
1pTVec *stores the AR coefficients. Length of the p vector defines AR(p) order.
2tTVec *stores the MA coefficients. Length of the t vector defines MA(q) order.
3nconst intdefines number of points to simulate.
4aResultTVec *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.
  }
}
See Also: StatTimeSerAnalysis::ARIMASimulate
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler