[R] ARIMA question

[Giovanni Petris]

> Date: Mon, 23 Feb 2009 14:03:07 -0500 (EST)
> From: otunno at clemson.edu
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> 
> 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/