ts.break.autocorrelation: Time Series Data Generator with Break in the Autocorrelation

In gnardin/stationarity: Time Series Stationarity Test

Description

Generates non-stationary time series data with break in the autocorrelation and normal error distribution.

Usage

ts.break.autocorrelation(N, TS, delta, phis, thetas, error, seeds, burnin)

Arguments

N	Number of time series
TS	Size of the time series
delta	Mean
phis	Vector with two autoregressive values
thetas	Vector with two moving average values
error	Type of error and parameters Normal - c(ERROR_N, mean, stdv) Exponential - c(ERROR_E, mean, lambda) Triangle - c(ERROR_T, lower, upper, mode)
seeds	Vector of seeds
burnin	Number of samples thrown away at the beginning of time series generation

Value

N time series of size TS

Examples

ts.break.autocorrelation(5, 5000, 0, c(0.45, 0.9), c(0, 0), c(ERROR_N, 0, 1),
c(645,983,653,873,432), 10)

gnardin/stationarity documentation built on May 17, 2019, 7:29 a.m.