IARgsample: Simulate from an IAR-Gamma Model

In iAR: Irregularly Observed Autoregressive Models

Simulate from an IAR-Gamma Model

Description

Simulates an IAR-Gamma Time Series Model.

Usage

IARgsample(phi, st, n = 100L, sigma2 = 1L, mu = 1L)

Arguments

phi	A coefficient of IAR-Gamma model. A value between 0 and 1.
st	Array with observational times.
n	Length of the output time series. A strictly positive integer.
sigma2	Scale parameter of the IAR-Gamma process. A positive value.
mu	Level parameter of the IAR-Gamma process. A positive value.

Value

A list with the following components:

• y Array with simulated IAR-Gamma process.

• st Array with observation times.

References

\insertRef

Eyheramendy_2018iAR

See Also

gentime

Examples

n=100
set.seed(6714)
st<-gentime(n)
y<-IARgsample(phi=0.9,st=st,n=n,sigma2=1,mu=1)
plot(st,y$y,type='l')
hist(y$y,breaks=20)

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