Description Usage Arguments Details See Also Examples
View source: R/makeFunctions.R
Generate a matrix of multichannel (possibly long memory) noise variables
1 | multiNoise(n, sigma = 1, alpha = length(sigma), ...)
|
n |
An integer specifying the number of observations per channel. |
sigma |
A vector giving the noise levels (standard deviation) for each channel in the multichannel model (see details). |
alpha |
A vector specifying the dependence level in each channel. |
... |
Additional arguments to pass to the |
Generates a n by m matrix of noise variables. Long memory variables can be generated by the use of the optional fracdiff
package (if installed). The dependence is specified using the alpha
parameter where alpha
= 2 - 2H where H = Hurst parameter. Long memory is ensured when alpha is between 0 and 1 (H between 1/2 and 1). If alpha
is a single element and sigma
has more than one element (multichannel), then the same dependence level of alpha
is used amongst all of the channels. Otherwise the size of alpha
and sigma
should be the same size.
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