ts.break.mean: Time Series Data Generator with Break in the Mean

In gnardin/stationarity: Time Series Stationarity Test

Description

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

Usage

ts.break.mean(N, TS, deltas, phi, theta, error, seeds, burnin)

Arguments

N	Number of time series
TS	Size of the time series
deltas	Vector with two mean values
phi	Autoregressive parameter
theta	Moving average parameter
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.mean(5, 5000, c(0, 2), 0.9, 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.