ts.break.variance: Time Series Data Generator with Break in the Variance

In gnardin/stationarity: Time Series Stationarity Test

Description

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

Usage

ts.break.variance(N, TS, delta, phi, theta, error, seeds, burnin)

Arguments

N	Number of time series
TS	Size of the time series
delta	Mean
phi	Autoregressive parameter
theta	Moving average parameter
error	Type of error and parameters Normal - c(ERROR_N, mean, stdv[1], stdv[2]) Exponential - c(ERROR_E, mean, lambda[1], lambda[2]) Triangle - c(ERROR_T, lower, upper, mode[1], mode[2])
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.variance(5, 5000, 0, 0.9, 0, c(ERROR_N, 0, 1, 2), c(645,983,653,873,432), 10)

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