Class L6a20 ... t and triangular random numbers, random time series

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Modules for class L6a20

• TRAN Generates a random sample of size N from the Student's t distribution with degre ...

• DRNARM (RNARM) Generate a time series from a specified ARMA model.
• DRNSTT (RNSTT) Generate pseudorandom numbers from a Student's t distribution.
• DRNTRI (RNTRI) Generate pseudorandom numbers from a triangular distribution on the interval (0, ...
• RNARM (DRNARM) Generate a time series from a specified ARMA model.
• RNSTT (DRNSTT) Generate pseudorandom numbers from a Student's t distribution.
• RNTRI (DRNTRI) Generate pseudorandom numbers from a triangular distribution on the interval (0, ...

• G05DJF Returns a pseudo-random real number taken from a Student's t-distribution with N ...
• G05EGF Sets up a reference vector for an autoregressive moving-average (ARMA) time seri ...
• G05EWF Generates the next term from an autoregressive moving-average time series using ...

• NAG_ARMA_TIME_SERIES Generates an autoregressive moving average (ARMA) time series with normally dist ...
• NAG_GENERATE_AGARCHI Univariate time series, generate n terms of either a symmetric GARCH process or ...
• NAG_GENERATE_AGARCHII Generates a given number of terms of a type II AGARCH(p,q) process (see Engle an ...
• NAG_GENERATE_GARCHGJR Generates a given number of a Glosten, Jagannathan and Runkle (GJR) GARCH(p,q) p ...