simule.nh.MSAR.VM: Simulation of (non) homogeneous Markov Stiwtching...

In NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models

Description

simule.nh.MSAR.VM simulates realisations of (non) homogeneous Markov Switching autoregressive models with von Mises innovations

Usage

simule.nh.MSAR.VM(theta, Y0, T, N.samples = 1, covar.emis = NULL, covar.trans = NULL)

Arguments

theta	list of class MSAR including model parameters and a description of the model. See init.theta.MSAR.VM for more details.
Y0	Initial value. Array of dimension order*N.samples*d with order the AR order, N.samples the number of samples to be simulated and d the dimension of the considered data.
T	Length of each realisation to be simulated
N.samples	number of samples to be simulated
covar.emis	emission covariate or lag for non homogeneous models. Lag is used if the covariate is the lagged time series.
covar.trans	transition covariate or lag for non homogeneous models. Lag is used if the covariate is the lagged time series.

Value

List including

..$Y	simulated observation time series
..$S	simulated Markov chain

Author(s)

Val\'erie Monbet, [e-mail]

References

Ailliot P., Bessac J., Monbet V., P\'ene F., (2014) Non-homogeneous hidden Markov-switching models for wind time series. JSPI.

See Also

fit.MSAR.VM, init.theta.MSAR.VM

Examples

	##Not run
#data(WindDir)
#T = dim(WindDir)[1]
#N.samples = dim(WindDir)[2]
#Y = array(WindDir,c(T,N.samples,1))
# von Mises homogeneous MSAR
#M = 2
#order = 1
#theta.init = init.theta.MSAR.VM(Y,M=M,order=order,label="HH")
#polar.hh = fit.MSAR.VM(Y,theta.init,MaxIter=50,verbose=TRUE,eps=1e-8)

#K.sim = 1
#Y0 = array(Y[1:2,sample(1:N.samples,K.sim,replace=T),],c(2,K.sim,1))
#sim.dir = simule.nh.MSAR.VM(polar.hh$theta,Y0=Y0,T,N.samples=K.sim)

## Not run
#theta.init$mu = polar.hh$theta$mu
# theta.init$kappa = polar.hh$theta$kappa+1i*0 # kappa complex
# theta.init$prior = polar.hh$theta$prior
# theta.init$transmat = polar.hh$theta$transmat
# polar.hh.c = fit.MSAR.VM(Y,theta.init,MaxIter=50,verbose=TRUE,eps=1e-8)
	
# theta.init = init.theta.MSAR.VM(Y,M=M,order=order,label="NH",ncov=1,nh.transitions="VM")
# theta.init$mu = polar.hh.c$theta$mu
# theta.init$kappa = polar.hh.c$theta$kappa # kappa complex
# theta.init$prior = polar.hh.c$theta$prior
# theta.init$transmat = polar.hh.c$theta$transmat
# theta.init$par.trans =  matrix(c(polar.hh.c$theta$mu,.1*matrix(1,M,1)),M,2)+1i
#Y.tmp = array(Y[2:T,,],c(T-1,N.samples,1))
#Z = array(Y[1:(T-1),,],c(T-1,N.samples,1))
# polar.nh.c = fit.MSAR.VM(Y.tmp,theta.init,MaxIter=1,verbose=T,eps=1e-8,covar.trans=Z)
#K.sim = 100
#Y0 = array(Y[1:2,sample(1:N.samples,K.sim,replace=T),],c(2,K.sim,1))
#sim.dir = simule.nh.MSAR.VM(polar.nh.c$theta,Y0=Y0,T,N.samples=K.sim,covar.trans=1)

NHMSAR documentation built on Feb. 9, 2022, 9:06 a.m.