MAR_Variance {SNSeg} | R Documentation |
A funtion to generate a multivariate autoregressive process (MAR) model in time series for testing change points based on variance and autocovariance
Description
The function MAR_Variance
is used for generating MAR model(s) for
examples of the functions SNSeg_Uni
, SNSeg_Multi
, and SNSeg_HD
.
Usage
MAR_Variance(reptime, type = "V3")
Arguments
reptime |
The number of time series to be generated |
type |
The type of time series for simulation, which includes V1, V2, V3
, A1, A2 and A3. The V-beginnings are for testing the variance, and the
A-beginnings are for testing the autocorrelation. The simulated time series
come from supplement of Zhao et al. (2022) doi:10.1111/rssb.12552.
Default The time length and "true change-points locations" (cps) for each |
Value
Returns a matrix of the simulated MAR processes. The number of columns
of this matrix is equivalent to the value of input argument reptime
.
Examples
MAR_Variance(reptime = 2, type = "V1")