[R] Simulation of Timeseries
pgilbert at bank-banque-canada.ca
Fri Nov 17 19:51:41 CET 2000
>I try to simulate an ARMA-model using R, but I didn't find any function
>to generate such timeseries.
There is a "simulate()" method for ARMA models in the DSE package on CRAN. It works
for univariate AR-, MA- and ARIMA-series as well as the multivariate versions
sometimes called VAR, VMA, VARMA and VARIMA and also with exogenous variable,
sometimes called ARX, MAX, ARMAX, ARIMAX, VARX, VMAX, VARMAX, VARIMAX. (I use ARMA to
mean all these.) There is also a simulate method for state space models.
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