Re: [R] farimaSim

From: Gabor Grothendieck <ggrothendieck_at_gmail.com>
Date: Mon 01 Aug 2005 - 08:19:57 EST

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@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@uibk.ac.at
> >
> >______________________________________________
> >R-help@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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>



R-help@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 Received on Mon Aug 01 08:24:32 2005

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