g_cfar1: Generate a CFAR(1) Process

In ConvFuncTimeSeries/test3:

Description

Generate a convolutional functional autoregressive process with order 1.

Usage

g_cfar1(tmax = 1001, rho = 5, phi_func = NULL, grid = 1000, sigma = 1)

Arguments

tmax	length of time.
rho	parameter for O-U process (noise process).
phi_func	convolutional function. Default is density function of normal distribution with mean 0 and standard deviation 0.1.
grid	the number of grid points used to constrcut the functional time series. Default is 1000.
sigma	the standard deviation of O-U process. Default is 1.

Value

The function returns a list with components:

cfar1	a tmax-by-(grid+1) matrix following a CFAR(1) process.
epsilon	the innovation at time tmax.

References

Liu, X., Xiao, H., and Chen, R. (2016) Convolutional autoregressive models for functional time series. Journal of Econometrics, 194, 263-282.

Examples

phi_func= function(x)   
{
 	return(dnorm(x,mean=0,sd=0.1))
}
y=g_cfar1(1000,5,phi_func)

ConvFuncTimeSeries/test3 documentation built on May 29, 2019, 11:41 a.m.