StatTimeSerAnalysis.ARMASimulate Method

Simulate the ARMA (p,q) process.

Syntax

Visual Basic

public static void ARMASimulate([In] TVec p, [In] TVec t, [In] int n, [In] TVec aResult);

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 n	defines number of points to simulate.
[In] TVec aResult	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

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.

Group

StatTimeSerAnalysis Methods

Links

StatTimeSerAnalysis Class, StatTimeSerAnalysis Members, Dew.Stats.Units Namespace, StatTimeSerAnalysis Methods, Example, See Also

Contents | Index | Home

What do you think about this topic? Send feedback!