pb_sim: Simulates persistence-break process

In memochange: Testing for Structural Breaks under Long Memory and Testing for Changes in Persistence

Description

This function simulates a fractional white noise process that exhibits a break in persistence using FI.sim from the LongMemoryTS package. In the first part of the series the noise is integrated with order d_1 and in the second part with order d_2.

Usage

pb_sim(T, tau, trend = c("none", "linear"), tp = 0, d1, d2, mean = 0,
  var = 1)

Arguments

T	length of the time series.
tau	break fraction, T*tau yields the break point. It needs to hold that 0<tau<1.
trend	whether the time series exhibits a trend, "none" implies no trend and "linear" implies a linear trend.
tp	trend parameter, t*tp yields the contribution of the trend component if trend="linear".
d1	order of integration of the first part of the series.
d2	order of integration of the second part of the series.
mean	mean of the series. Default is mean=0.
var	variance of the innovations. Default is var=1

Value

Returns a vector containing the simulated time series.

Author(s)

Janis Becker

Examples

set.seed(410)

# generate persistence-break time series
series <- pb_sim(500, 0.5, "none", d1=0.2, d2=0.8, mean=0, var=1)

# plot generated series
stats::ts.plot(series)

memochange documentation built on July 27, 2020, 1:09 a.m.