gen_gts: Simulate a simts TS object using a theoretical model

Description Usage Arguments Details Value Author(s) Examples

View source: R/gts.R

Description

Create a gts object based on a time series model.

Usage

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gen_gts(n, model, start = 0, end = NULL, freq = 1, unit_ts = NULL,
  unit_time = NULL, name_ts = NULL, name_time = NULL)

Arguments

n

An integer containing the length of the time series.

model

A ts.model or simts object containing the available models in the simts package.

start

A numeric that provides the time of the first observation.

end

A numeric that provides the time of the last observation.

freq

A numeric that provides the rate of samples. Default value is 1.

unit_ts

A string that contains the unit expression of the time series. Default value is NULL.

unit_time

A string that contains the unit expression of the time. Default value is NULL.

name_ts

A string that provides an identifier for the time series data. Default value is NULL.

name_time

A string that provides an identifier for the time. Default value is NULL.

Details

This function accepts either a ts.model object (e.g. AR1(phi = .3, sigma2 =1) + WN(sigma2 = 1)) or a simts object.

Value

A gts object

Author(s)

James Balamuta and Wenchao Yang

Examples

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# Set seed for reproducibility
set.seed(1336)
n = 1000

# AR1 + WN
model = AR1(phi = .5, sigma2 = .1) + WN(sigma2=1)
x = gen_gts(n, model)
plot(x)

# Reset seed
set.seed(1336)

# GM + WN
# Convert from AR1 to GM values
m = ar1_to_gm(c(.5,.1),10)

# Beta = 6.9314718, Sigma2_gm = 0.1333333
model = GM(beta = m[1], sigma2_gm = m[2]) + WN(sigma2=1)
x2 = gen_gts(n, model, freq = 10, unit_time = 'sec')
plot(x2)

# Same time series
all.equal(x, x2, check.attributes = FALSE)

SMAC-Group/simts documentation built on Nov. 16, 2018, 8:05 a.m.