apply_AR_part: Apply the autoregressive recursion in the temporal domain

In tomasrubin/specsimfts: Spectral domain simulation methods for functional time series

Description

This function is not meant to be used by the end-user. It is internal function for the runtime of the hybrid simulation withing the FARFIMA_simulate function.

Usage

apply_AR_part(fts_x, operators_ar)

Arguments

fts_x	The functional time series, represented as a matrix of size (n_grid,t_max), which the autoregressive recursion is applied to.
operators_ar	The list of length 'p' the order of the autoregressive part. The autoregressive operators are considered to be integral operators defined through their kernels which are saved as the elements of the list operators_ar as functions of two variables, x and y, returning the value of the kernel at point (x,y). In case of degenerate autoregressive part define operators_ar as an empty list.

Value

functional time series sample, matrix of size (n_grid,t_max) where these sample size parameters are copied from the input parameter fts_x

References

Rubin, Panaretos. Simulation of stationary functional time series with given spectral density. arXiv, 2020

See Also

FARFIMA_simulate

tomasrubin/specsimfts documentation built on March 26, 2021, 1:37 p.m.