IARtsample: Simulate from an IAR-T Model

In iAR: Irregularly Observed Autoregressive Models

Simulate from an IAR-T Model

Description

Simulates an IAR-T Time Series Model.

Usage

IARtsample(n, phi, st, sigma2 = 1, nu = 3)

Arguments

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

Value

A list with the following components:

• y Array with simulated IAR-t process.

• st Array with observation times.

References

\insertRef

Eyheramendy_2018iAR

See Also

gentime

Examples

n=300
set.seed(6714)
st<-gentime(n)
y<-IARtsample(n,0.9,st,sigma2=1,nu=3)
plot(st,y$y,type='l')
hist(y$y,breaks=20)

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