sigex.sim: Simulate a stochastic process

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Simulate a stochastic process

Description

Simulate a stochastic process

Usage

sigex.sim(psi, mdl, simlen, burnin, dof, init)

Arguments

psi	A vector of all the real hyper-parameters
mdl	The specified sigex model, a list object
simlen	Length of the simulation
burnin	Initial stretch of simulation, later discarded
dof	Innovations of simulation are student t with dof degrees of freedom, set dof=Inf to get Gaussian
init	Initial values for process, should have length d, where d is the order of the full differencing polynomial

Value

sims: matrix of dimension simlen x N of simulated stochastic process corresponding to mdl with parameter psi.

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.