StatTimeSerAnalysis.ARMASimulate Function

Simulate the ARMA (p,q) process.

Pascal

procedure ARMASimulate(const p: TVec; const t: TVec; const n: integer; const aResult: TVec); overload;

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.
n	defines number of points to simulate.
aResult	returns ARMA (p,q) time series. Size of Result vector is adjusted automatiacally.

See Also

ARIMASimulate

Example

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

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

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

StatTimeSerAnalysis, Functions, Example, See Also

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