Qt_data: Simulate data from time-varying trend model

In mlrv: Long-Run Variance Estimation in Time Series Regression

Simulate data from time-varying trend model

Description

Simulate data from time-varying trend model

Usage

Qt_data(T_n, param)

Arguments

T_n	integer, sample size
param	a list of parameters tw double, squared root of variance of the innovations rate double, magnitude of non-stationarity center double, the center of the ar coefficient ma_rate double, ma coefficient

Value

a vector of non-stationary time series

Examples

param = list(d = -0.2,  tvd = 0, tw = 0.8, rate = 0.1, center = 0.3, ma_rate =  0, cur = 1)
data = Qt_data(300, param)

mlrv documentation built on Sept. 11, 2024, 6:57 p.m.