Hi,
I tried to simulate an ARIMA model by using arima.sim(), say
arima.sim(n=100,list(order=c(1,0,1),ar=0.6,ma=0.9,sd=1), but the acf and pacf
of simulated data using acf() and pacf() are so much different from the
theoritcal acf and pacf. For instance, in my case, ar=0.6 and ma=0.9, so the
acf for all lags should be greater than 0 based on the theoritical calculation,
but the acf of simulated data always has some negative values which bothers me.
Can any one tell me why? and how can I get the simulated data close to what I
expect?
Thanks very much
JC
_________________________________________________________________
[[elided Hotmail spam]]
plorer 8.
[[elided Hotmail spam]]
[[alternative HTML version deleted]]
______________________________________________
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.
