Message-ID: <Pine.LNX.4.44.0401141536560.16626-100000@gannet.stats>
Date: 2004-01-14T15:40:58Z
From: Brian Ripley
Subject: seasonal fractional ARIMA models
In-Reply-To: <40055A5E.4040709@pik-potsdam.de>
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