gsarima-package {gsarima}R Documentation

Two functions for Generalized SARIMA time series simulation

Description

Write SARIMA models in (finite) AR representation and simulate generalized multiplicative seasonal autoregressive moving average (time) series

Details

Package: gsarima
Type: Package
Version: 0.0-2
Date: 2009-06-12
License: GPL (>= 2)
LazyLoad: yes

Use arrep() for converting the SARIMA function into AR representation, and use garsim() to simulate.

Author(s)

Olivier Briet <o.briet.antispam@gmail.com>

Maintainer: Olivier Briet <o.briet.antispam.@gmail.com>

References

Brandt PT, Williams JT: A linear Poisson autoregressive model: The PAR(p). Political Analysis 2001, 9.

Benjamin MA, Rigby RA, Stasinopoulos DM: Generalized Autoregressive Moving Average Models. Journal of the American Statistical Association 2003, 98:214-223.

Zeger SL, Qaqish B: Markov regression models for time series: a quasi-likelihood approach. Biometrics 1988, 44:1019-1031

Grunwald G, Hyndman R, Tedesco L, Tweedie R: Non-Gaussian conditional linear AR(1) models. Australian & New Zealand Journal of Statistics 2000, 42:479-495.


[Package gsarima version 0.0-2 Index]