SimGLP | R Documentation |
Simulates a General Linear Time Series that can have nonGaussian innovations.
It uses the FFT so it is O(N log(N)) flops where N=length(a) and N is assumed
to be a power of 2.
The R function convolve
is used which implements the FFT.
SimGLP(psi, a)
psi |
vector, length Q, of MA coefficients starting with 1. |
a |
vector, length Q+n, of innovations, where n is the length of time series to be generated. |
z_t = \sum_{k=0}^Q psi_k a_{t-k}
where t=1,\ldots,n
and the innovations
$a_t, t=1-Q, ..., 0, 1, ..., n$ are
given in the input vector a.
Since convolve
uses the FFT this is faster than direct computation.
vector of length n, where n=length(a)-length(psi)
A.I. McLeod
convolve
,
arima.sim
#Simulate an AR(1) process with parameter phi=0.8 of length n=100 with
# innovations from a t-distribution with 5 df and plot it.
#
phi<-0.8
psi<-phi^(0:127)
n<-100
Q<-length(psi)-1
a<-rt(n+Q,5)
z<-SimGLP(psi,a)
z<-ts(z)
plot(z)
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