[R] Use of hosking.sim R function

From: Wahl, Eugene R <wahle_at_alfred.edu>
Date: Tue 02 May 2006 - 07:18:37 EST


Dear all:  

My experience in using hosking.sim to generate random time series is that it requires an n-length autocorrelation function (ACF; order 0 to n-1) to generate n-length random vectors. I have attempted to utilize shorter than n-length (i.e. truncated) ACF's with hosking.sim to generate n-length random vectors, but the function will not operate for n-length time series without the full-length ACF series.  

The help available for this function via R's online capability only gives a generic description of the nature of the function, with no details.  

I am aware that, when modeling time series with AR models, generally low-order AR processes are used, and that there are objective criteria (e.g. BIC and AIC) to optimally limit the order of the AR model. In light of this, I would like to understand why hosking.sim appears to require the full (0 to n-1) ACF to generate n-length random time series vectors.  

Any information in this regard would be helpful.  

Sincerely, Gene    


 

Dr. Eugene R. Wahl

Asst. Professor of Environmental Studies

Alfred University  

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