sim_dgp: Functions to simulate example data

In FK83/fdtest: Randomization test for forecast dominance

Description

Functions to simulate example data

Usage

sim_dgp(n, g = 0.8, h = 1, sd_2 = 1)

sim_dgp_est(n, g = 0.8, sd_2 = 1, presample = 50)

sim_dgp_quantiles(n, a = 0.05, tau1, tau2)

Arguments

n	nr of observations
g	persistence parameter
h	forecast horizon
sd_2	variance parameter, determines relative performance
presample,	number of presample observations
a	quantile level
tau1	precision parameter for forecaster 1
tau2	precision parameter for forecaster 2

Value

matrix of dimension (n x 3), containing forecasts (columns 1, 2) and realizations (column 3) from example process

FK83/fdtest documentation built on May 9, 2019, 2:23 p.m.