var.sim.break: Generating non-stationary ARMA data.

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

Description

Generating non-stationary ARMA data.

Usage

var.sim.break(
  nobs,
  arlags = NULL,
  malags = NULL,
  cnst = NULL,
  phi = NULL,
  theta = NULL,
  skip = 200,
  sigma,
  brk = nobs + 1
)

Arguments

nobs	number of time points
arlags	the true AR order
malags	the true MA order
cnst	the constant
phi	parameter matrix of the AR model
theta	parameter matrix of the MA model
skip	the number of time points to skip at the begining (for stable data)
sigma	covariance matrix of the white noise
brk	vector of break points

Value

Matrice of time series data and white noise data

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