R/sim.pw.ar.R

In wbsts: Multiple Change-Point Detection for Nonstationary Time Series

sim.pw.ar <-
function(N,sd_u ,b.slope,br.loc) {
  num.breaks = length(br.loc)
  phi = c()
  y = rep(0,N)
  for (i in 1:length(b.slope)) {
    if (i == 1)   {
      phi=c(phi,rep(b.slope[1],br.loc[1])) 
      next
    }
    if (i == length(b.slope)) {
      phi=c(phi,rep(tail(b.slope,1),N - br.loc[length(b.slope)-1]))
      break
    }
    else {
      phi=c(phi,rep(b.slope[i],br.loc[i] - br.loc[i-1]))
    }
  }
  y[1] =  rnorm(1,0,sd_u)
  for (i in 2:N) {
    y[i] = phi[i] * y[i-1] + rnorm(1,0,sd_u)
  }
  output = list(NULL)
  output[[1]] = phi
  output[[2]] = y
  output[[3]] = br.loc
  return(output)
}