FARIMA.GENERATE

SAMPLE RUN ONE

# Denotes comments added after the session.

# In S-Plus:

> X11()	                         # Enable  graphics window.
> source("farima.generate")	 # Read in the program.
> temp_farima.generate(500,10000,0.3,1.5,0,0,1,0) 
                                 #Generates a FARIMA(0,d,0) series with 
                                 #d=0.3, alpha=1.5, sigma=1,beta=0, 
				 #length=10000.
> tsplot(temp)			 #Time series plot of the simulated series.

Graphical output.

> tsplot(temp[3580:3600])        # Close-up plot of one of the spikes.

Close-Up Graphical output.

> kernel.gen(100,.3)             #Generate the fractional differencing
                                 #kernel in order to display it.  (d=0.3)
  [1] 1.00000000 0.30000000 0.19500000 0.14950000 0.12333750 0.10607025
  [7] 0.09369539 0.08432585 0.07694734 0.07096254 0.06599517 0.06179547
 [13] 0.05819074 0.05505739 0.05230452 0.04986364 0.04768211 0.04571873
 [19] 0.04394078 0.04232191 0.04084064 0.03947929 0.03822313 0.03705981
 [25] 0.03597890 0.03497149 0.03402995 0.03314769 0.03231900 0.03153889
 [31] 0.03080298 0.03010743 0.02944883 0.02882416 0.02823072 0.02766610
 [37] 0.02712815 0.02661492 0.02612464 0.02565574 0.02520676 0.02477640
 [43] 0.02436346 0.02396685 0.02358556 0.02321867 0.02286534 0.02252480
 [49] 0.02219631 0.02187922 0.02157291 0.02127681 0.02099039 0.02071316
 [55] 0.02044466 0.02018445 0.01993215 0.01968737 0.01944976 0.01921900
 [61] 0.01899478 0.01877681 0.01856481 0.01835853 0.01815774 0.01796219
 [67] 0.01777169 0.01758601 0.01740498 0.01722841 0.01705612 0.01688796
 [73] 0.01672377 0.01656341 0.01640673 0.01625360 0.01610389 0.01595750
 [79] 0.01581429 0.01567416 0.01553701 0.01540274 0.01527125 0.01514246
 [85] 0.01501627 0.01489261 0.01477139 0.01465254 0.01453599 0.01442166
 [91] 0.01430949 0.01419942 0.01409138 0.01398531 0.01388117 0.01377889
 [97] 0.01367842 0.01357970 0.01348271 0.01338737

SAMPLE RUN TWO

temp1_farima.generate.pareto(500,10000,0.3,1.5,1) 
                                 #Generates a FARIMA(0,d,0) series with 
				 #Pareto innovations.   d=0.3
                                 #alpha=1.5, sigma=1. length=10000.
> tsplot(temp1)			 #Time series plot of the simulated series.
> 
>q()                                         # Quit.

Graphical output.