Nothing
tseg <- function(n, which=c("BJAR2","BJAR1", "BJAR3", "PWAR4",
"BJARMA11", "MHAR9", "NileMin", "SB32")) {
which <- match.arg(which)
ans <- switch(which,
BJAR1 = (1.17/(1-0.87)) +
arima.sim(model=list(ar=0.87), n=n, sd=sqrt(0.09)),
BJAR2 = (14.35/(1-sum(c(1.42, -0.73)))) +
arima.sim(model=list(ar=c(1.42, -0.73)), n=n, sd=sqrt(227.8)),
#sqrt(227.8) = 15.09304
BJAR3 = (11.31/(1-sum(c(1.57, -1.02, 0.21)))) +
arima.sim(model=list(ar=c(1.57, -1.02, 0.21)), n=n, sd=sqrt(218.1)),
PWAR4 = arima.sim(model=list(ar=c(2.7607,-3.8106,2.6535,-0.9238)),
n=n), #Percival and Walden, p.45
BJARMA11 = 1.45/(1-0.92) +
arima.sim(model=list(ar=0.92, ma=-0.58), n=n, sd=sqrt(0.097),
n.start=1000), #sqrt(0.097)=0.3114482
MHAR9 = 11.17 +
arima.sim(model=list(ar=c(1.2434, -0.5192, 0,0,0,0,0,0, 0.1954)),
n=n, sd=2.0569, n.start=1000),
#McLeod, Hipel & Lennox (1978, p.581)
NileMin = 11.48+artsim(n, d=0.393, sigma2=0.4894),
SB32 = -0.5559+artsim(n, d=5/6, lambda=0.045, sigma2 = 3.573)
)
as.vector(ans)
}
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