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rdb
2005 Mar 31
2
how to simulate a time series
Dear useRs,
I want to simulate a time series (stationary; the distribution of
values is skewed to the right; quite a few ARMA absolute standardized
residuals above 2 - about 8% of them). Is this the right way to do it?
#--------------------------------
load("rdtb") #the time series
> summary(rdtb)
Min. 1st Qu. Median Mean 3rd Qu. Max.
-1.11800 -0.65010 -0.09091 0.30390 1.12500 2.67600
farma <- arima(rdtb,order=c(1,0,1),include.mean=T)
> farma[["coef"]]
ar1 ma1 intercept
0.58091575 0.02313803 0.30...