Library: | times |
See also: | genarch |
Quantlet: | genarma | |
Description: | generates an autoregressive moving average process with mean zero |
Usage: | y = genarma(a, b, eps) | |
Input: | ||
a | p-vector of autoregressive parameters | |
b | q-vector of moving average parameters | |
eps | n-vector of noise | |
Output: | ||
y | n-vector, the ARMA process |
library("times") randomize(0) genarma(0.1,0.1,normal(5))
Contents of y [1,] -0.21293 [2,] -1.0504 [3,] 1.7444 [4,] -0.93571 [5,] -1.6582
Library: | times |
See also: | genarch |