FI.sim {LongMemoryTS}

Simulate multivariate fractional white noise.

Description

FI.sim Simulates a

Usage

FI.sim(T, q, rho, d, B = diag(q), var = 1, burnin = 250)

Arguments

T

positive integer determining the length of the simulated series.

q

positive integer determining the dimension of the simulated series.

rho

real value between 0 and 1 that determines correlation between the innovations.

d

vector of memory parameters with length q.

B

qxq matrix specifying cointegrating relations. By default diag(q).

var

positive real value that determines the variance of the innovations. Default value is var=1.

burnin

positive integer determining the length of the burnin period. Default is burnin=250.

Examples

T=1000
series<-FI.sim(T=T,q=2,rho=0.7,d=c(0.4,0.4))
ts.plot(series, col=1:2)
cor(series)

series<-FI.sim(T=T,q=2,rho=0,d=c(0.1,0.4), B=rbind(c(1,-1),c(0,1)))
ts.plot(series, col=1:2)