Function arima::sim::arima_sim

pub fn arima_sim<T: Rng>(
    n: usize, 
    ar: Option<&[f64]>, 
    ma: Option<&[f64]>, 
    d: usize, 
    noise_fn: &dyn Fn(&mut T) -> f64, 
    rng: &mut T
) -> Result<Vec<f64>, ArimaError>

Simulate an ARIMA model time series

Arguments

• n - Length of the time series
• ar - Model parameters for the AR part
• ma - Model parameters for the MA part
• d - Model parameter for the differences
• noise_fn - Function that takes a `Rng' as input and returns noise
• rng - Reference to a mutable Rng.

Returns

• Output vector of length n containing the time series data.

Example

use rand::prelude::*;
use rand::distributions::{Normal, Distribution};

let normal = Normal::new(0.0, 2.0);

let x = arima::sim::arima_sim(
    100,
    Some(&[0.9, -0.3, 0.2]),
    Some(&[0.4, 0.2]),
    1,
    &|mut rng| { normal.sample(&mut rng) },
    &mut thread_rng()
).unwrap();