simuAR_cpp: Simulate autoregressive process
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
simuAR_cpp R Documentation
Simulate autoregressive process
Description
This function simulates an autoregresive process.
Usage
simuAR_cpp(mdl_h0, burnin = 100L)
Arguments
mdl_h0
List containing the following DGP parameters
n: Length of series.
mu: Mean of process.
sigma: variance of process.
phi: Vector of autoregressive coefficients.
eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.
burnin
Number of simulated observations to remove from beginning. Default is 100.
Value
List with simulated autoregressive series and its DGP parameters.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| simuAR_cpp | R Documentation |
Simulate autoregressive process
Description
This function simulates an autoregresive process.
Usage
simuAR_cpp(mdl_h0, burnin = 100L)
Arguments
mdl_h0 |
List containing the following DGP parameters
|
burnin |
Number of simulated observations to remove from beginning. Default is |
Value
List with simulated autoregressive series and its DGP parameters.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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