datagenNoml: Data Generating Function

In azure10h/PFSMC:

Description

A function creating parameters with abrupt changes and sequential data generated by those parameters in Gaussian form.

Usage

datagenNoml(T, k, a, b, sig = 1)

Arguments

T	Index of time series data.
k	Number of abrupt changes
a	Parameter space, upper bound.
b	Parameter space, lower bound.
sig	Variance of normal distribution with 1 as default.

Value

Return 'theta_true' as ture underlying paramaeters and 'Y' as data sequence.

Examples

data=datagenNoml(T=1000,k=6,a=-10,b=10,sig=1)
y=data[[1]]
theta_t=data[[2]]
plot(data.frame(x=1:T,y=y),type='l',col='lightblue',
ylim=c(-10,10),ylab='Generate Data/True mean',xlab='time index')
par(new=TRUE)
plot(data.frame(x=1:T,y=theta_t),type='l',
col='red',ylim=c(-10,10),ylab='',xlab='',axes=F)
title(main="Normal Data Sequence")

azure10h/PFSMC documentation built on Feb. 5, 2020, 5:11 a.m.