seasonal fractional ARIMA models

2 messages · Henning Rust, Brian Ripley

Wed, Jan 14, 2004 7:03 AM #

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

b) fitting and simulating fractional seasonal ARIMA models?

Hints will be appreciated,
	Henning

Henning Rust
Potsdam Institute for Climate Impact Research
Dept. Integrated Systems Analysis
Tel.: #49/331/288-2596	
Fax.: #49/331/288-2640
PGP : pgp.mit.edu

Please avoid sending me Word or PowerPoint attachments,
send plain text or PDF instead.
See http://www.fsf.org/philosophy/no-word-attachments.html

Brian Ripley

Wed, Jan 14, 2004 7:40 AM #

On Wed, 14 Jan 2004, Henning Rust wrote:

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.

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