simulate.data: Simulation of a dataset for a NLSS

Description Usage Arguments Value

Description

Generates a sequence of hidden states and of observations for a given NLSS. This NLSS can be any class that supports the methods loclike.rnd, prior.rnd, and has attributes spaces with fields dimx and dimy.

Usage

1
  simulate.data(nlss, x1, T)

Arguments

nlss

An instance of a NLSS, e.g. ARCH or NoisyAR

x1

Initial hidden state

T

Number of time-steps including the initial one

Value

x

Array (T, dimx) of hidden states

y

Array (T, dimy) of observations

y

Array (T, dimy) of observations


nickpoison/nltsa documentation built on May 23, 2019, 4:48 p.m.