| 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 |