Re: [S] QUESTION: ACF and fr-ARIMA-models

Oliver Klinger (klinger@lkn.e-technik.tu-muenchen.de)
Mon, 14 Sep 1998 16:15:08 +0200


Hello, Folks!

It's been a bug:
The format of the model I passed to arima.fracdiff.sim was wrong so the
function simulated everything but no fractional ARIMA model!

Thanx

Oliver Klinger
Institute for Communication Networks
Technical University of Munich

Oliver Klinger wrote:

> Hello, Dear S+ers!
>
> THE SITUATION:
> I'm trying to model a long-memory-timeseries using the arima.fracdiff
> and arima.fracdiff.sim-functions of S+ 4.5
> I decided to use models of order (2, d, 2) (i.e. 2 AR-parameters and 2
> MA-parameters)
> The timeseries to be modeled is a measurement of LAN bandwidth used
> during a videoconference (LiveLan).
>
> THE PROBLEM:
> When simulating a new timeseries with arima.fracdiff.sim and as model
> the model calculated with arima.fracdiff, then the simluated timeseries
> shows an extremely bad short-range-dependence. This can be seen in the
> autocorrelation function (ACF) of the simulated series. In the acf-plot
> there are at small lags (<50) extrremely low correlations to be seen
> (~0.01 whereas they should be ~0.1 ... 0.25!)
>
> THE QUESTION:
> What can/must I do to improve the short-range behaviour of the simulated
> timeseries without changing the order of my fr-ARIMA-models?!?!?
>
> *URGENT*
>
> Thanx in advance
>
> Oliver Klinger
> Institute for Communication Networks
> Technical University of Munich
>
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