Description Usage Arguments Value Examples
Returns a simulated time series Y_{1,T}, ..., Y_{T,T} that fulfills the following equation:
Y_{t,T} = ∑_{j=1}^p a_j(t/T) Y_{t-j,T} + σ(t/T) \varepsilon_{t} + ∑_{k=1}^q σ((t-k)/T) b_k(t/T) \varepsilon_{t-k},
where a_1, …, a_p, b_0, b_1, …, b_q are real-valued functions on [0,1], σ is a positive function on [0,1] and \varepsilon_t is white noise.
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T |
length of the time series to be returned |
a |
list of p real-valued functions defined on [0,1] |
b |
list of q real-valued functions defined on [0,1] |
sigma |
function |
innov |
a function with one argument |
Returns a tvARMA(p,q) time series with specified parameters.
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