[S] time series question - important

SusieMM@aol.com
Mon, 16 Nov 1998 20:59:09 EST


I have a simple question which has a simple answer. Regretfully, I can't seem
to find the simple answer in S+ manual or V&R book or else I'm not reading
carefully.

Simple question:

When I use arima.sim, what is the equation being simulated (sign wise)?

For example, the S+ manual has an example for arima.sim

> x<- arima.sim(100,model=list(ar = 0.5, ma = -0.6))

Is the following model being simulated?

X(t) + 0.5X(t-1) = Z(t) + 0.6Z(t-1) (CHOICE A)

or

X(t) = 0.5X(t-1) + Z(t) - 0.6Z(t-1) (CHOICE B)

or

X(t) + 0.5X(t-1) = Z(t) - 0.6Z(t-1) (CHOICE C)

or

OTHER

Sorry if this seems like a mundane question but it's an important one and I
just can't find/figure out the answer.

Thanks,
Susan M. Mangiero

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