uTAR.sim: Generate Univariate SETAR Models

In ConvFuncTimeSeries/test_t: Nonlinear time series analysis

Description

Generate univariate SETAR model for up to 3 regimes.

Usage

uTAR.sim(nob, arorder, phi, d = 1, thr = c(0, 0), sigma = c(1, 1, 1),
  cnst = rep(0, 3), ini = 500)

Arguments

nob	number of observations.
arorder	AR-order for each regime. The length of arorder controls the number of regimes.
phi	a 3-by-p matrix. Each row contains the AR coefficients for a regime.
d	delay for threshold variable.
thr	threshold values.
sigma	standard error for each regime.
cnst	constant terms.
ini	burn-in period.

Value

uTAR.sim returns a list with components:

series	a time series following SETAR model.
at	innovation of the time seres.
arorder	AR-order for each regime.
thr	threshold value.
phi	a 3-by-p matrix. Each row contains the AR coefficients for a regime.
cnst	constant terms
sigma	standard error for each regime.

Examples

arorder=rep(1,2)
ar.coef=matrix(c(0.7,-0.8),2,1)
y=uTAR.sim(100,arorder,ar.coef,1,0)

ConvFuncTimeSeries/test_t documentation built on May 29, 2019, 1:39 p.m.