sigmaMat: Calculation of covariance matrix for the limit process of...

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description

This function calculates the covariance matrix of the limit process in Kustosz, Leucht and Mueeller (2016) for a given grid.

Usage

sigmaMat(t, nclust = 1)

Arguments

t	Grid on [-2,2] on which the process later will be evaluated.
nclust	Number of processors on which the calculation can be splitted. Default value is given by 1.

Details

Details on the derivation of the limit are given in Kustosz, Leucht and Mueller (2016). Remarks on the implementation are presented in Kustosz (2016).

Value

The function retruns the variance covariance matrix on the predefined grid, which then can be used to simulate the process.

Author(s)

Kustosz, Christoph

References

Kustosz, C. (2016). Depth based estimators and tests for autoregressive processes with application. Ph. D. thesis. TU Dortmund.

Kustosz C., Leucht A. and Mueller Ch. H. (2016). Tests based on simplicial depth for AR(1) models with explosion. Journal of Time Series Analysis. In press.

See Also

simulateGP, muVec

Examples

g <- seq(-2, 2, 0.1)
sigma <- sigmaMat(g)
Y <- simulateGP(g, sigma)
plot(Y$Y1)
lines(Y$Y2)

ChrisKust/rexpar documentation built on May 6, 2019, 11:48 a.m.