Hello - How do I simulate multivariate ARIMA data? I am familiar with the "arima.sim" function, which I have used several times to generate univariate data, but when I type "help(arima.sim)", the information I get back reveals nothing about possible multivariate options. Please reply when you get a free moment. Thanks! Ferebee T.
ARIMA question
2 messages · otunno at clemson.edu, Giovanni Petris
Date: Mon, 23 Feb 2009 14:03:07 -0500 (EST) From: otunno at clemson.edu Sender: r-help-bounces at r-project.org Importance: Normal Precedence: list User-Agent: SquirrelMail/1.4.13 Hello - How do I simulate multivariate ARIMA data?
You can use package dlm. There is a function -- dlmModARMA() -- to set up an ARMA model (univariate or multivariate) in DLM form, and a function -- dlmForecast() -- to obtain forecasts/simulations (including pre-sample, which is what you need). Hope this helps, Giovanni
I am familiar with the "arima.sim" function, which I have used several times to generate univariate data, but when I type "help(arima.sim)", the information I get back reveals nothing about possible multivariate options. Please reply when you get a free moment. Thanks! Ferebee T.
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Giovanni Petris <GPetris at uark.edu> Associate Professor Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/