Creating series with estimated coefficients

Question

I managed to estimate some ARIMA models, got coefficients, but just wondering is there an easy way how to plot series using the estimated coeffcients?

So I gota

arimadax1<-auto.arima(dax1,d=2, max.order=50,max.d=2, start.q=0,max.p=5, max.q=10,       trace=TRUE,ic=c("aicc","aic", "bic"))

and I can call the coefficients from the estimate (2,2,0) but then I would have to create the series myself by hand like I did before for a different series:

r1<-rep(0,1000)
e1<-rep(0,1000)
for (i in 2:1000) {
r1[i]<-0.080067-0.667730*r[i-1]+e1[i]+0.223005*e1[i-1]
}

Would you know of an easier way to do this? Now I have 4 series and it might be tedious if I wanted even more. Thanks a lot!

score 1 · Accepted Answer · answered Oct 28 '14 at 20:22

1

# assuming some ar-coefficients:
ar.coef <- c(0.2, -.1)
arima.sim(1000, model = list(ar=ar.coef, order = c(2,2,0)))

answered Oct 28 '14 at 20:22

DatamineR

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Haha, so easy, thanks! I spent way too much time with that I got confused with all that code. – Jan Sila Oct 30 '14 at 09:36
If it was of any use would be nice if you accepted my answer – DatamineR Oct 30 '14 at 14:18
Yes, there you go. Thanks again! – Jan Sila Oct 31 '14 at 15:11

Creating series with estimated coefficients

1 Answers1