gen_lts_cpp: Generate Latent Time Series based on Model (Internal)

In SMAC-Group/gmwm: Generalized Method of Wavelet Moments

Description

Create a latent time series based on a supplied time series model.

Usage

gen_lts_cpp(N, theta, desc, objdesc)

Arguments

N	An interger containing the amount of observations for the time series.
theta	A vec containing the parameters to use to generate the model.
desc	A vector<string> containing the different model types (AR1, WN, etc..).
objdesc	A field<vec> containing the different model objects e.g. AR1 = c(1,1)

Value

A mat containing data for each decomposed and combined time series.

Examples

# AR
set.seed(1336)
gen_lts_cpp(10, c(.9,1), "AR1", list(c(1,1)))

SMAC-Group/gmwm documentation built on Sept. 11, 2021, 10:06 a.m.