> Date: Mon, 23 Feb 2009 14:03:07 -0500 (EST) > From: otu...@clemson.edu > Sender: r-help-boun...@r-project.org > Importance: Normal > Precedence: list > User-Agent: SquirrelMail/1.4.13 > > 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. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- Giovanni Petris <gpet...@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/ ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
