ARIMASimulate Routine

Summary

Simulate the ARIMA process.

Declaration

Procedure ARIMASimulate(p, t: TVec; d: Integer; ResInit: TVec; n: integer; Result: TVec);

Parameter	Description
p	stores the AR coefficients. Length of the p vector defines AR(p) order.
t	stores the MA coefficients. Length of the t vector defines MA(q) order.
d	defines how many times time series is differentiated (d parameter in ARIMA).
ResInit	defines initial values for integration: r[-d+1],Dr[-d+2],...,D^(d-1)r[0]. The length of ResInit must be equal to d, otherwise an exception will be raised.
n	defines number of points to simulate.
Result	returns ARIMA (p,d,q) time series. Size of Result vector is adjusted automatiacally.

Description

Simulate the ARIMA (p,d,q) process.

See Also
ARMASimulate

Example 1

Simulate ARIMA(1,2,1) process with Phi=[1.0], Theta=[-0.25], d=2.

  Uses MtxExpr, StatTimeSerAnalysis, Math387;
  procedure Example;
  var phi,theta,init,ts: Vector;
  begin
    phi.SetIt(false,[1.0]);
    theta.SetIt(false,[-0.25]);
    init.SetIt(false,[0,0]);
    ARIMASimulate(phi,theta,2,init,100,ts);
    // ts now stores 100 points from ARIMA(1,1,2) process.
  end;

  #include "MtxVecCpp.h"
  #include "Math387.hpp"
  #include "StatTimeSerAnalysis.hpp"
  void __fastcall Example();
  {
    Vector phi,theta,init,ts;
    phi->SetIt(false,OPENARRAY(TSample,(1.0)));
    theta->SetIt(false,OPENARRAY(TSample,(-0.25)));
    init->SetIt(false,OPENARRAY(TSample,(0,0)));
    ARIMASimulate(phi,theta,2,init,100,ts);
    // ts now stores 100 points from ARIMA(1,1,2) process.
  }

  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 init = new Vector(0);
      Vector ts = new Vector(0);
      phi.SetIt(false, new double[] {1.0});
      theta.SetIt(false,new double[] {-0.25});
      theta.SetIt(false,new double[] {0.0});
      StatTimeSerAnalysis.ARIMASimulate(phi,theta,2,init,100,ts);
      // ts now stores 100 points from ARIMA(1,1,2) process.
    }
  }