Description Usage Arguments Details See Also Examples

View source: R/makeFunctions.R

Generate a matrix of multichannel (possibly long memory) noise variables

1 | ```
multiNoise(n, sigma = 1, alpha = length(sigma), ...)
``` |

`n` |
An integer specifying the number of observations per channel. |

`sigma` |
A vector giving the noise levels (standard deviation) for each channel in the multichannel model (see details). |

`alpha` |
A vector specifying the dependence level in each channel. |

`...` |
Additional arguments to pass to the |

Generates a n by m matrix of noise variables. Long memory variables can be generated by the use of the optional `fracdiff`

package (if installed). The dependence is specified using the `alpha`

parameter where `alpha`

= 2 - 2H where H = Hurst parameter. Long memory is ensured when alpha is between 0 and 1 (H between 1/2 and 1). If `alpha`

is a single element and `sigma`

has more than one element (multichannel), then the same dependence level of `alpha`

is used amongst all of the channels. Otherwise the size of `alpha`

and `sigma`

should be the same size.

1 2 3 4 5 6 7 8 9 |

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