lm.sim.break: Generate the linear regression model data with break points

In LinearDetect: Change Point Detection in High-Dimensional Linear Regression Models

Description

Generate the linear regression model data with break points

Usage

lm.sim.break(
  nobs,
  px,
  cnst = NULL,
  phi = NULL,
  sigma,
  sigma_x = 1,
  brk = nobs + 1
)

Arguments

nobs	number of time points
px	the number of features
cnst	the constant
phi	parameter coefficient matrix of the linear model
sigma	covariance matrix of the white noise
sigma_x	variance of the predictor variable x
brk	vector of break points

Value

A list object, which contains the followings

series_y

matrix of response data

series_x

matrix of predictor data

noises

matrix of white noise error

LinearDetect documentation built on March 22, 2021, 9:06 a.m.