[R] ARIMA question
GPetris at uark.edu
Mon Feb 23 21:52:58 CET 2009
> Date: Mon, 23 Feb 2009 14:03:07 -0500 (EST)
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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,
> 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
> Please reply when you get a free moment.
> Thanks! Ferebee T.
> R-help at r-project.org mailing list
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> and provide commented, minimal, self-contained, reproducible code.
Giovanni Petris <GPetris at uark.edu>
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
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