ts_AR1_Gaussian: Synthetic AR(1) Gaussian time series with missing values

In imputeFin: Imputation of Financial Time Series with Missing Values and/or Outliers

Description

Synthetic AR(1) Gaussian time series with missing values for estimation and imputation testing purposes.

Usage

data(ts_AR1_Gaussian)

Format

List with the following elements:

y_missing

300 x 3 zoo object with three AR(1) Gaussian time series along the columns: the first column contains a time series with 10% consecutive missing values; the second column contains a time series with 10% missing values randomly distributed; and the third column contains the union of the previous missing values.

phi0

Value of phi0 used to generate the time series.

phi1

Value of phi1 used to generate the time series.

sigma2

Value of sigma2 used to generate the time series.

imputeFin documentation built on Feb. 20, 2021, 9:07 a.m.