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StatTimeSerAnalysis.ARIMASimulate Method
StatTimeSerAnalysis Class  StatTimeSerAnalysis Members  Dew.Stats.Units Namespace  StatTimeSerAnalysis Methods  Example  See Also
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Simulate the ARIMA process.

Syntax
C#
Visual Basic
public static void ARIMASimulate([In] TVec p, [In] TVec t, [In] int d, [In] TVec ResInit, [In] int n, [In] TVec aResult);
Parameters
Parameters 
Description 
[In] TVec p 
stores the AR coefficients. Length of the p vector defines AR(p) order. 
[In] TVec t 
stores the MA coefficients. Length of the t vector defines MA(q) order. 
[In] int d 
defines how many times time series is differentiated (d parameter in ARIMA). 
[In] TVec 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. 
[In] int n 
defines number of points to simulate. 
[In] TVec aResult 
returns ARIMA (p,d,q) time series. Size of Result vector is adjusted automatiacally. 
Remarks

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

See Also
Example

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

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 init = new Vector(0); Vector ts = new Vector(0); phi.SetIt(false, new double[] {1.0}); theta.SetIt(false,new double[] {-0.25}); theta.SetIt(false,new double[] {0.0}); StatTimeSerAnalysis.ARIMASimulate(phi,theta,2,init,100,ts); // ts now stores 100 points from ARIMA(1,1,2) process. } }
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