Seasonal ARIMA Simulation

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R Markdown

# Simulasi SARIMA(2,0,2)(2,0,2)[12]
set.seed(123)
n <- 500
at <- rnorm(n, mean = 0, sd = 1)

phi1 <- 0.6
phi2 <- -0.4
theta1 <- 0.5
theta2 <- -0.3
Phi1 <- 0.4
Phi2 <- -0.2
Theta1 <- 0.5
Theta2 <- -0.4

y <- rep(0, n)

for (t in 25:n) {
  y[t] <- phi1 * y[t-1] + phi2 * y[t-2] +
          Phi1 * y[t-12] + Phi2 * y[t-24] +
          at[t] + theta1 * at[t-1] + theta2 * at[t-2] +
          Theta1 * at[t-12] + Theta2 * at[t-24]
}

ts.plot(y, main = "Simulasi SARIMA(2,0,2)(2,0,2)[12]", ylab = "Y", col = "blue")

par(mfrow = c(1, 2))
acf(y, main = "ACF dari Simulasi")
pacf(y, main = "PACF dari Simulasi")