[R] generating time series data

Pfaff, Bernhard
Tue, 27 Aug 2002 06:21:52 -0000

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
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