simulate.data: Simulation of a dataset for a NLSS

In nickpoison/nltsa: Nonlinear Time Series Analysis

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

  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.