generative_process: Some stationary processes

In slm: Stationary Linear Models

Description

This is a generative function. The user chooses one of the process: "iid", "AR1", "AR12", "MA12", "Nonmixing", "sysdyn", and it generates the chosen process. These processes are fully described in the paper of E. Caron, J. Dedecker and B. Michel (2019). Linear regression with stationary errors: the R package slm. arXiv preprint arXiv:1906.06583. https://arxiv.org/abs/1906.06583.

Usage

generative_process(n, process = "AR1", phi = "numeric",
  theta = "numeric")

Arguments

n	integer. The sample size.
process	a list of character to choose the process.
phi	a numeric vector with AR parameters if the process is "AR1" or "AR12".
theta	a numeric vector with MA parameters if the process is "MA12".

Value

This function returns a vector of observations drawn according to the selected process.

References

E. Caron, J. Dedecker and B. Michel (2019). Linear regression with stationary errors: the R package slm. arXiv preprint arXiv:1906.06583. https://arxiv.org/abs/1906.06583.

Examples

generative_process(200,"Nonmixing")

slm documentation built on Aug. 31, 2020, 5:11 p.m.