simulation_2d_garch: Simulation of 2D STGARCH-process

In Sondre91/STGARCH: STGARCH

Description

Simulation of 2D STGARCH-process

Usage

simulation_2d_garch(param = NULL, dim = NULL, burnin = 100, cutoff = 0)

Arguments

param	Numeric vector of length 3, consiting of α_0, α_1 and β_1
dim	Numeric vector of length 3, indicating dimension size on form spatial1 x spatial2 x temporal
burnin	Integer, size of temporal burnin
cutoff	Integer, number of spatial points to be "cut off" in each spatial direction in order to make the simulated process non-circular. If cutoff=0, the process is circular.

Value

Simulated STARCH process in form of a matrix of dimension dim.

Examples

data<-simulation_2d_garch(param=c(0.3, 0.05, 0.03),
                          dim=c(10, 10, 100),
                          burnin=100,
                          cutoff=0)

Sondre91/STGARCH documentation built on May 9, 2019, 1:52 p.m.