seasonal fractional ARIMA models
On Wed, 14 Jan 2004, Henning Rust wrote:
Hello, does anyone know about: a) simulating seasonal ARIMA models? arima out of package ts can fit it, but it does not look like it can simulates data from seasonal models
Well, it doesn't simulate at all. arima.sim simulates non-seasonal models and you can just expand out a seasonal ARIMA model to get a non-seasonal one.
b) fitting and simulating fractional seasonal ARIMA models?
For simulating, the same comment applies, using fracdiff.sim in package fracdiff.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595