CIAR.sample: Simulate from a CIAR Model

Description Usage Arguments Details Value References See Also Examples

View source: R/CIARsample.R

Description

Simulates a CIAR Time Series Model

Usage

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CIAR.sample(n, sT, phi.R, phi.I, rho = 0, c = 1)

Arguments

n

Length of the output time series. A strictly positive integer.

sT

Array with observational times.

phi.R

Real part of the coefficient of CIAR model. A value between -1 and 1.

phi.I

Imaginary part of the coefficient of CIAR model. A value between -1 and 1.

rho

Correlation between the real and the imaginary part of the process. A value between -1 and 1.

c

Nuisance parameter corresponding to the variance of the imaginary part.

Details

The chosen phi.R and phi.I values must satisfy the condition $|phi.R + i phi.I| < 1$.

Value

A list with the following components:

References

\insertRef

Elorrieta_2019iAR

See Also

gentime

Examples

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n=300
set.seed(6714)
st<-gentime(n)
x=CIAR.sample(n=n,phi.R=0.9,phi.I=0,sT=st,c=1)
plot(st,x$y,type='l')
x=CIAR.sample(n=n,phi.R=-0.9,phi.I=0,sT=st,c=1)
plot(st,x$y,type='l')

iAR documentation built on April 15, 2021, 5:06 p.m.

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