rtvAR1 | R Documentation |
Simulating time-varying variance based on TV-AR1 model
rtvAR1(n, sigma = 0.93)
n |
Length of the time series |
sigma |
Parameter σ^2 in TV-AR1, i.e. the variance. Default is 0.93. |
Time varying autoregressive processes of order 1 (TV-AR1) is
x_t = a_t x_(t-1) + ε_t,
with x_0=0, ε_t is iid N(0, σ^2) and a_t = 0.5\cos(2π t/T).
The simulated series as a ts
object.
Sara Taskinen, Markus Matilainen
Patilea V. and Raïssi H. (2014) Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance, Journal of the American Statistical Association, 109 (507), 1099-1111.
n <- 5000 X <- rtvAR1(n, sigma = 0.93) plot(X)
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