simulateGP: Simulation of the gaussian limit process from simplicial...

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description

This function simulates the gaussian limit process defined in Kustosz, Leucht, and M\"ueller (2016). Thereby a grid can be definied and the covariance matrix has to be precalculated to enable a faster generation of repetitions.

Usage

simulateGP(g, sigma)

Arguments

g	One dimensional grid between on [-2,2] on which the process is simulated.
sigma	Precalculated covariance matrix based on the predefined grid. This can be done by sigmaMat.

Details

Details on the derivation of this limit process are presented in Kustosz, Leucht and M\"uller (2016). More information on the implementation can be found in Kustosz (2016).

Value

The function retruns the bivariate process as list

Y1	Variable component of the process.
Y2	Second compontent of the process, which is time independent.

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 M\"uller Ch. H. (2016). Tests based on simplicial depth for AR(1) models with explosion. Journal of Time Series Analysis. In press.

See Also

sigmaMat, muVec, find1,find2,intfun2

Examples

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

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