Simulating time-varying variance based on TV-VAR model
Length of the time series
Parameter α in TV-VAR
Parameter β in TV-VAR. Default is 1.
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,
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),
simple = TRUE,
hm_t = t/T.
The simulated series as a
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.
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