Welcome to the Harris Geospatial product documentation center. Here you will find reference guides, help documents, and product libraries.


IMSL_RANDOM_ARMA

IMSL_RANDOM_ARMA

IMSL_RANDOM_ARMA

The IMSL_RANDOM_ARMA function generates a time series from a specific IMSL_ARMA model.

The IMSL_RANDOM_ARMA function simulates an IMSL_ARMA(p, q) process, {Wt}, for t = 1, 2, ..., n. The model is:

Let µ be the mean of the time series {Wt}. The overall constant θ0 (Const) is:

Time series whose innovations have a nonnormal distribution may be simulated by providing the appropriate innovations in Input_Noise and start values in W_Init.

The time series is generated according to the following model:

X(i) = Const + ar(0) * X(i – Ar_Lags(0)) + ... + ar(p – 1) * X(i – Ar_Lags(p – 1)) + A(I) – ma(0) * A(i – Ma_Lags(0)) – ... – ma(q – 1) * A(i – Ma_Lags(q – 1))

where the constant is related to the mean of the series:

W

as follows:

Const = W · (1 - ar(0) - ... + (-ar(q - 1)))

and where:

X(t) = W(t), t = 0, 1, ..., n − 1

and:

W(t) = W_Init(t + p), t = –p, –p + 1, ..., −2, −1

and A is either Input_Noise (if Input_Noise is used) or Output_Noise (otherwise).



© 2018 Harris Geospatial Solutions, Inc. |  Legal
My Account    |    Store    |    Contact Us