DLSimulate: Simulate linear time series
In ltsa: Linear Time Series Analysis

Description Usage Arguments Details Value Author(s) References See Also Examples

The Durbin-Levinsion recursions are used to simulate a stationary time series given an unit innovation sequence and given autocovariance function. Requires

O(n^2)

flops.

1	DLSimulate(n, r, useC = TRUE, rand.gen = rnorm, ...)

`n`	length of time series to be generated
`r`	autocovariances, lags 0, ...,
`useC`	=TRUE, use C interface. Otherwise direct computation.
`rand.gen`	random number generator to use
`...`	optional arguments passed to `rand.gen`

See Hipel and McLeod (1994) or McLeod, Yu and Krougly (2007).

simulated time series of length n

A.I. McLeod

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

DHSimulate, SimGLP, codearima.sim

#Simulate hyperbolic decay time series 
#with Hurst coefficient, H=0.9
n<-2000
H<-0.9
alpha<-2*(1-H)  #hyperbolic decay parameter
r<-(1/(1:n))^alpha
z<-DLSimulate(n, r)
plot.ts(z)
#can use HurstK function in FGN library to estimate H