CIARsample: Simulate from a CIAR Model

In iAR: Irregularly Observed Autoregressive Models

Simulate from a CIAR Model

Description

Simulates a CIAR Time Series Model

Usage

CIARsample(n, phiR, phiI, st, rho = 0L, c = 1L)

Arguments

n	Length of the output time series. A strictly positive integer.
phiR	Real part of the coefficient of CIAR model. A value between -1 and 1.
phiI	Imaginary part of the coefficient of CIAR model. A value between -1 and 1.
st	Array with observational times.
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 phiR and phiI values must satisfy the condition $|phiR + i phiI| < 1$.

Value

A list with the following components:

• yArray with the simulated real part of the CIAR process.

• t Array with observation times.

• Sigma Covariance matrix of the process.

References

\insertRef

Elorrieta_2019iAR

See Also

gentime

Examples

n=300
set.seed(6714)
st<-gentime(n)
x=CIARsample(n=n,phiR=0.9,phiI=0,st=st,c=1)
plot(st,x$y,type='l')
x=CIARsample(n=n,phiR=-0.9,phiI=0,st=st,c=1)
plot(st,x$y,type='l')

iAR documentation built on Nov. 25, 2022, 1:06 a.m.