View source: R/gen.glambda.wge.R
gen.glambda.wge | R Documentation |
This function generates a g(lambda) TVF realization as discussed in Chapter 13 of Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott
gen.glambda.wge(n, lambda, phi =0, offset = 20, vara = 1, plot = TRUE, sn = 0)
n |
Length of realization to be generated |
lambda |
The lambda involved in the g(lambda) time transformation - see Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott |
phi |
Vector of AR coefficients |
vara |
White noise variance, default=1 |
offset |
The offset parameter in a g(lambda) process. See section 13.2 in Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott |
plot |
Logical: TRUE=plot, FALSE=no plot |
sn |
determines the seed used in the simulation. sn=0 produces new/random realization each time. sn=positive integer produces same realization each time |
This function simply generates and (optionally plots) an ARMA realization
Wayne Woodward
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott
gen.glambda.wge(n=500, lambda=0.5,phi=c(1.9,-.99), vara=1, plot=TRUE,sn=0)
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