createTimeSeries: Create Time Series

In speegled/cpbaywave: Bayesian Wavelet based Change Point Detection

Create Time Series

Description

This function creates a multi-dimensional nomral time series with normal entries and a possible change point in the mean. Running with no arguments creates five dimensional normal time series with mean 0, mean 1 and identity covariance matrix.

Usage

createTimeSeries(mu1, mu2, sigma, n = 128, tau = 72)

Arguments

mu1	A vector of length dimension giving mean before change point, or scalar if constant across dimensions.
mu2	A vector of length dimesnion giving mean after change point, or scalar if constant across dimensions.
sigma	The covariance matrix used for generation. Defaults to the identity.
n	The length of the time series to create.
tau	The location of the change point.

Value

A vector of length n containing multivariate normal entries.

Examples

createTimeSeries()

speegled/cpbaywave documentation built on Feb. 19, 2024, 11:13 a.m.