[R] farimaSim

[Gabor Grothendieck]

Note that if the only difference is the addition of ... to the formal arguments
then you can just do this once in your session before using farimaSim:

  formals(farimaSim) <- c(formals(farimaSim), alist(... = ))

Now farimaSim will have ... as an argument. e.g.

> formals(farimaSim) <- c(formals(farimaSim), alist(... = ))
> args(farimaSim)
function (n = 1000, model = list(ar = c(0.5, -0.5), d = 0.3, 
    ma = 0.1), method = c("freq", "time"), ...) 



On 7/31/05, Diethelm Wuertz <wuertz at itp.phys.ethz.ch> wrote:
> Hansi Weissensteiner wrote:
> 
> >Hello!
> >
> >I installed the fSeries package to get some farima time-series which i tried
> >with farimaSim, but unfortunately i got always an error. I tried it this way:
> >
> >
> >
> >>farimaSim(n = 1000, model = list(ar = 0.5,  d = 0.3, ma = 0.1), method="freq")
> >>
> >>
> >
> >Error in farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1),  :
> > ... used in an incorrect context
> >
> >
> In the function definition of farimaSim the dots argument is missing.
> Replace or overwrite  farimaSim by the following function.
> I have to aplogize for any inconveniances caused by this bug.
> The bug will be fixed in the next version of Rmetrics.
> 
> Diethelm Wuertz
> 
> 
> 
> farimaSim =
> function(n = 1000, model = list(ar = c(0.5, -0.5), d = 0.3, ma = 0.1),
> method = c("freq", "time"), ...)
> ############  ^^^^^^^^^^   #### Insert the dots!!!!
> {   # A function implemented by Diethelm Wuertz
> 
>    # Description:
>    #   Simulates a FARMA Time Series Process
> 
>    # Note:
>    #   Splus-Like argument list
> 
>    # Example:
>    #   armaSim(model = list(ar = c(0.5, -0.5), d = 0.2, ma = 0.1))
>    #   armaSim(model = list(d = 0.2, ma = 0))
>    #   armaSim(model = list(d = 0.2))
> 
>    # FUNCTION:
> 
>    # Settings:
>    innov = NULL
>    n.start = 100
>    start.innov = NULL
>    rand.gen = rnorm
> 
>    # Simulate:
>    if (!is.list(model))
>        stop("model must be list")
>    if (is.null(innov))
>        innov = rand.gen(n, ...)
>    n = length(innov)
>    if (is.null(start.innov))
>        start.innov = rand.gen(n, ...)
>    n.start = length(start.innov)
> 
>    # AR PART:
>    p = length(model$ar)
>    if (p == 1 && model$ar == 0)
>        p = 0
>    if (p) {
>        minroots = min(Mod(polyroot(c(1, -model$ar))))
>        if (minroots <= 1) stop("ar part of model is not stationary")
>    }
> 
>    # MA PART:
>    q = length(model$ma)
>    if (q == 1 && model$ma == 0)
>        q = 0
>    if (n.start < p + q)
>        stop("burn-in must be as long as ar + ma")
> 
>    # DIFFERENCING:
>    ## if (model$d < 0) stop("d must be positive ")
>    dd = length(model$d)
>    if (dd) {
>        # FRACDIFF if "dd" is a non-integer value:
>        d = model$d
>        if (d != round(d) ) {
>            TSMODEL = "FRACDIFF"
>        } else {
>            TSMODEL = "ARIMA" }
>    } else {
>        d = 0
>        TSMODEL = "ARIMA"
>    }
> 
>    # ARMA:
>    if (TSMODEL == "ARIMA") {
>        stop("d is a short range model")
>    }
> 
>    if (TSMODEL == "FRACDIFF") {
>        if (p == 0) model$ar = 0
>        if (q == 0) model$ma = 0
>        mu = 0
>        # Use Fortran Routine from R's contributed fracdiff package:
>        # This is a BUILTIN function ...
>        x = .Fortran("fdsim", as.integer(n), as.integer(p), as.integer(q),
>            as.double(model$ar), as.double(model$ma), as.double(model$d),
>            as.double(mu), as.double(rnorm(n + q)), x = double(n + q),
>            as.double(.Machine$double.xmin),
> as.double(.Machine$double.xmax),
>            as.double(.Machine$double.neg.eps),
> as.double(.Machine$double.eps),
>            PACKAGE = "fSeries")$x[1:n]
>    }
> 
>    # Return Value:
>    ans = as.ts(x)
>    attr(ans, "model") = model
>    ans
> }
> 
> 
> 
> The result will be:
> 
> farimaSim(n = 1000, model = list(ar = 0.5,  d = 0.3, ma = 0.1),
> method="freq")
> Time Series:
> Start = 1
> End = 1000
> Frequency = 1
>   [1]  3.2301357515  2.7050870252  3.4878581467  4.1825601460  5.1286599175
>   [6]  5.5220029973  5.1488261085  5.9423142081  3.5078481961  2.1189096844
>  [11]  2.5885700846  2.2224732255  3.0389690791  2.8123050401  2.6096020908
>  [16]  2.3095398924  1.4900953088  2.6017795027  3.5148157279  3.4317135045
> ...
>  [991] -0.5745174996  0.9022402358 -0.5675451281  1.4723458150  2.2187064082
>  [996]  1.6818662030  0.3170217298  0.9290833661  0.5800528928 -1.6796471062
> attr(,"model")
> attr(,"model")$ar
> [1] 0.5
> 
> attr(,"model")$d
> [1] 0.3
> 
> attr(,"model")$ma
> [1] 0.1
> 
> 
> 
> 
> >Some ideas?
> >
> >Regards,
> >
> >    ___
> > _ /_|_|   Hansi Weissensteiner
> >/o\__/O\=  csae1552 at uibk.ac.at
> >
> >______________________________________________
> >R-help at stat.math.ethz.ch mailing list
> >https://stat.ethz.ch/mailman/listinfo/r-help
> >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
> >
> >
> >
> 
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