StatTimeSerAnalysis.ARIMASimulate Function

Simulate the ARIMA process.

Pascal

procedure ARIMASimulate(const p: TVec; const t: TVec; const d: Integer; const ResInit: TVec; const n: integer; const aResult: TVec);

File

StatTimeSerAnalysis

Parameters

Parameters	Description
p	stores the AR coefficients. Length of the p vector defines AR(p) order.
t	stores the MA coefficients. Length of the t vector defines MA(q) order.
d	defines how many times time series is differentiated (d parameter in ARIMA).
ResInit	defines initial values for integration: r[-d+1],Dr[-d+2],...,D^(d-1)r[0]. The length of ResInit must be equal to d, otherwise an exception will be raised.
n	defines number of points to simulate.
aResult	returns ARIMA (p,d,q) time series. Size of Result vector is adjusted automatiacally.

Description

Simulate the ARIMA (p,d,q) process.

See Also

ARMASimulate

Example

Simulate ARIMA(1,2,1) process with Phi=[1.0], Theta=[-0.25], d=2.

Uses MtxExpr, StatTimeSerAnalysis, Math387;
procedure Example;
var phi,theta,init,ts: Vector;
begin
  phi.SetIt(false,[1.0]);
  theta.SetIt(false,[-0.25]);
  init.SetIt(false,[0,0]);
  ARIMASimulate(phi,theta,2,init,100,ts);
  // ts now stores 100 points from ARIMA(1,1,2) process.
end;

#include "MtxExpr.hpp"
#include "Math387.hpp"
#include "StatTimeSerAnalysis.hpp"
void __fastcall Example();
{
  sVector phi,theta,init,ts;
  phi.SetIt(false,OPENARRAY(double,(1.0)));
  theta.SetIt(false,OPENARRAY(double,(-0.25)));
  init.SetIt(false,OPENARRAY(double,(0,0)));
  ARIMASimulate(phi,theta,2,init,100,ts);
  // ts now stores 100 points from ARIMA(1,1,2) process.
}

StatTimeSerAnalysis, Functions, Example, See Also

What do you think about this topic? Send feedback!