tvar1sim | R Documentation |
Simulates a realization from a TVAR(1) model where
the AR(1) parameter moves from 0.9 to -0.9 in equal steps
over 512 time points. The realization is also of length 512.
The innovations are normally distributed with mean zero and
standard deviation of sd
.
tvar1sim(sd = 1)
sd |
This is the standard deviation of the Gaussian innovation. |
This function is easily converted into one that does the same thing but for a different sample size.
A realization of the aforementioned TVAR(1) process.
Guy Nason.
Nason, G.P. (2013) A test for second-order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series. J. R. Statist. Soc. B, 75, 879-904. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/rssb.12015")}
Rvarlacf
#
# Generate realization from the TVAR(1) process
#
x <- tvar1sim()
#
# Maybe plot it
#
## Not run: ts.plot(x)
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