gen_ar1blocks: Generate AR(1) Block Process

In SMAC-Group/simts: Time Series Analysis Tools

Generate AR(1) Block Process

Description

This function allows us to generate a non-stationary AR(1) block process.

Usage

gen_ar1blocks(phi, sigma2, n_total, n_block, scale = 10, 
title = NULL, seed = 135, ...)

Arguments

phi	A double value for the autocorrection parameter \phi.
sigma2	A double value for the variance parameter \sigma ^2.
n_total	An integer indicating the length of the simulated AR(1) block process.
n_block	An integer indicating the length of each block of the AR(1) block process.
scale	An integer indicating the number of levels of decomposition. The default value is 10.
title	A string indicating the name of the time series data.
seed	An integer defined for simulation replication purposes.
...	Additional parameters.

Value

A vector containing the AR(1) block process.

Note

This function generates a non-stationary AR(1) block process whose theoretical maximum overlapping allan variance (MOAV) is different from the theoretical MOAV of a stationary AR(1) process. This difference in the value of the allan variance between stationary and non-stationary processes has been shown through the calculation of the theoretical allan variance given in "A Study of the Allan Variance for Constant-Mean Non-Stationary Processes" by Xu et al. (IEEE Signal Processing Letters, 2017), preprint available: https://arxiv.org/abs/1702.07795.

Author(s)

Yuming Zhang and Haotian Xu

Examples

Xt = gen_ar1blocks(phi = 0.9, sigma2 = 1, 
n_total = 1000, n_block = 10, scale = 100)
plot(Xt)

Yt = gen_ar1blocks(phi = 0.5, sigma2 = 5, n_total = 800, 
n_block = 20, scale = 50)
plot(Yt)

SMAC-Group/simts documentation built on Sept. 4, 2023, 5:25 a.m.