simuAR {MSTest}

Simulate autoregressive process

Description

This function simulates an autoregresive process.

Usage

simuAR(mdl_h0, burnin = 100)

Arguments

mdl_h0

List containing the following DGP parameters

• n: Length of series.

• mu: Mean of process.

• sigma: Standard deviation 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.

Examples

set.seed(1234)
# Define DGP of AR process
mdl_ar <- list(n     = 500, 
               mu    = 5,
               sigma = 2,
               phi   = c(0.5,0.2))

# Simulate process using simuAR() function
y_simu <- simuAR(mdl_ar)

plot(y_simu)