To whom it may concern, I am interested in generating data from an ARMA(p,q) process in R. I know that there are functions in S which allow for this, but I don't know if such functions exist in R. Do they? And if so, what are those functions? Thanks, Carsten Botts e-mail: cbotts at stat.ufl.edu -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Hello Carsten, in the 'ts'-package is a function called 'ARMAacf'. This function computes the ACFs and PACFs of an ARMA(p,q)-model. You have to provide the vector of AR- and MA-coefficients. If you want to generate a sample series itself that adheres to such an ARMA(p,q) model overlay the function with a noise term generated by 'rnorm' and provide starting values. I do not know of an existing function that generates such a sample series. Hope that is of help for you. Bernhard -----Original Message----- From: Carsten Botts [mailto:cbotts at stat.ufl.edu] Sent: 27 August 2002 01:14 To: R-help at stat.math.ethz.ch Subject: [R] generating time series data To whom it may concern, I am interested in generating data from an ARMA(p,q) process in R. I know that there are functions in S which allow for this, but I don't know if such functions exist in R. Do they? And if so, what are those functions? Thanks, Carsten Botts e-mail: cbotts at stat.ufl.edu -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-. -.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._. _._ If you have received this e-mail in error or wish to read our e-mail disclaimer statement and monitoring policy, please refer to http://www.drkw.com/disc/email/ or contact the sender -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
library(ts) ?arima.sim Same name but not quite the same usage as S-PLUS (not S). On Mon, 26 Aug 2002, Carsten Botts wrote:> To whom it may concern, > > I am interested in generating data from an ARMA(p,q) process in R. I > know that there are functions in S which allow for this, but I don't > know if such functions exist in R. Do they? And if so, what are > those functions?-- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Carsten Botts wrote:> > To whom it may concern, > > I am interested in generating data from an ARMA(p,q) process in R. I > know that there are functions in S which allow for this, but I don't > know if such functions exist in R. Do they? And if so, what are > those functions? >The simulate function in the DSE bundle does this. See the user's guide for more details and examples. There are also functions for studying estimation techniques by repeatedly simulating and estimating. Paul Gilbert -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._