> Date: Mon, 23 Feb 2009 14:03:07 -0500 (EST)
> From: otunno at clemson.edu
> Sender: r-help-bounces at r-project.org
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>
> Hello -
>
> How do I simulate multivariate ARIMA data?
>
You can use package dlm. There is a function -- dlmModARMA() -- to set
up an ARMA model (univariate or multivariate) in DLM form, and a
function -- dlmForecast() -- to obtain forecasts/simulations
(including pre-sample, which is what you need).
Hope this helps,
Giovanni
> I am familiar with the "arima.sim" function, which I have used
several
> times to generate univariate data, but when I type
"help(arima.sim)", the
> information I get back reveals nothing about possible multivariate
> options.
>
> Please reply when you get a free moment.
>
> Thanks! Ferebee T.
>
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--
Giovanni Petris <GPetris at uark.edu>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/