[R] seasonal fractional ARIMA models

Prof Brian Ripley ripley at stats.ox.ac.uk
Wed Jan 14 16:40:58 CET 2004

On Wed, 14 Jan 2004, Henning Rust wrote:

> Hello,
> does anyone know about:
> a) simulating seasonal ARIMA models? arima out of package ts can fit it, 
> but it does not look like it can simulates data from seasonal models

Well, it doesn't simulate at all.  arima.sim simulates non-seasonal models
and you can just expand out a seasonal ARIMA model to get a non-seasonal 

> b) fitting and simulating fractional seasonal ARIMA models?

For simulating, the same comment applies, using fracdiff.sim in package 

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

More information about the R-help mailing list