rtvvar | R Documentation |
Simulating time-varying variance based on TV-VAR model
rtvvar(n, alpha, beta = 1, simple = FALSE)
n |
Length of the time series |
alpha |
Parameter α in TV-VAR |
beta |
Parameter β in TV-VAR. Default is 1. |
simple |
A logical vector indicating whether h_t is considered as its own process, or just t/T. Default is FALSE. |
Time varying variance (TV-VAR) process x_t with parameters α and β is of the form
x_t = hm_t ε_t,
where, if simple = FALSE
,
hm_t^2 = h_t^2 + α x_(t-1)^2,
where ε are iid N(0,1), x_0 = 0 and h_t = 10 - 10 sin(β π t/T + π/6) (1 + t/T),
and if simple = TRUE
,
hm_t = 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 <- rtvvar(n, alpha = 0.2, beta = 0.5, simple = FALSE) plot(X)
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