hystar_sim {hystar}

Simulate data from the HysTAR model

Description

With this function, you can simulate observations from the HysTAR model, given its parameter values.

Usage

hystar_sim(z, r, d, phi_R0, phi_R1, resvar = c(1, 1), start_regime = NULL)

Arguments

z

A numeric vector representing the observed threshold variable. You can simulate z with z_sim(). Can not have missing values.

r

A numeric vector of length 2, representing the threshold values r_0 and r_1. The values must be inside the range of z, that is, larger than min(z) and smaller than max(z). Otherwise, only one regime will be active so you might as well simulate an AR process, e.g. with arima.sim(). If you simulated z with z_sim() and start_hyst = TRUE, make sure to set the threshold values around the middle of the range of z, otherwise, the start will not be hysteretic.

d

A positive whole number representing the value of the delay parameter. It must be smaller than length(z).

phi_R0

A vector containing the constant and autoregressive parameters (\phi_0^{(0)}, \phi_1^{(0)}, \dots, \phi_{p_0}^{(0)}) of Regime 0. Note that the first value of this vector is always interpreted as the constant, so for an AR(1) process with no constant, you must use phi_R0 = c(0, .5), for example. Both orders must be smaller than length(z). For valid standard errors of the estimates in hystar_fit(), the coefficients should imply that y is stationary, see Details.

phi_R1

The same as phi_R0, but for Regime 1.

resvar

A numeric vector of length 2 representing the variances of the residuals \sigma_{(0)}^2 and \sigma_{(1)}^2. The residuals are sampled from a normal distribution in the current implementation, but note that the model is defined for any i.i.d. vector of residuals with zero mean and finite variance.

start_regime

Optionally, a 0 or 1 that indicates which regime should be the first, in case the z variable starts in the hysteresis zone. This is only necessary when you use your 'own' z variable AND z starts in the hysteresis zone. A vector z simulated with z_sim() will contain information about if the start is hysteretic and what the starting regime is supposed to be (in the attributes() of z).

Details

Some details:

• To simulate y, 50 burn-in samples according the starting regime are used.

• The coefficients imply a stationary process of y_t if \sum_{i=1}^{p_0} \phi_i^{(0)} < 1 and \sum_{i=1}^{p_1} \phi_i^{(1)} < 1. See Zhu, Yu and Li (2013), p5.

Value

A list of class hystar_sim with elements

• ⁠$data⁠, a data.frame with length(z) rows and 4 columns:

  • y, the outcome variable

  • z, the threshold variable

  • H, a logical vector that indicates at which time points the hysteresis effect is happening. Note that this vector starts with NA(s), since the first d time points have no values observed for z_{t-d}.

  • R, the regime indicator vector.

• ⁠$r⁠, a numeric vector with the two threshold values,

• ⁠$d⁠, the delay parameter,

• ⁠$phi⁠, a numeric vector containing the coefficients. The names are such that phi_R1_2 represents \phi_{2}^{(1)}, the second lag autoregressive coefficient in Regime 1,

• ⁠$orders⁠, a numeric vector containing the two orders, and

• ⁠$resvar⁠, a numeric vector with the residual variances of both regimes.

Implemented generics for the hystar_sim class:

• plot() plots the z variable and the y variable above one another. Shading of the background visualizes the regimes. Thresholds are drawn as horizontal lines in the z plot. You can provide regime_names (char vector of 2), main (char vector of 1), xlab (char vector of 1) and ylab (char vector of 2).

• summary() gives an overview of the true parameter values that were used.

• print() prints the parameter values within the mathematical representation of the model. Note that the scalar multiplied with e[t] is the standard deviation of the residuals, not the variance. See also the model definition above.

The HysTAR model

The HysTAR model is defined as:

y_t = \begin{cases} \phi_{00} + \phi_{01} y_{t-1} + \cdots + \phi_{0 p_0} y_{t-p_0} + \sigma_{0} \epsilon_{t} \quad \mathrm{if}~R_{t} = 0 \\ \phi_{10} + \phi_{11} y_{t-1} + \cdots + \phi_{1 p_1} y_{t-p_1} + \sigma_{1} \epsilon_{t} \quad \mathrm{if}~R_{t} = 1, \\ \end{cases}

with R_t = \begin{cases} 0 \quad \quad \mathrm{if} \, z_{t-d} \in (-\infty, r_{0}] \\ R_{t-1} \quad \mathrm{if} \, z_{t-d} \in (r_0, r_1] \\ 1 \quad \quad \mathrm{if} \, z_{t-d} \in (r_1, \infty), \\ \end{cases}

where p_j denotes the order of regime j \in \{0,1\} with coefficients \phi_{j0}, \dots, \phi_{j p_j \in (-1, 1)}, \sigma_{j} is the standard deviation of the residuals, and d \in \{0, 1, 2, \dots\} is a delay parameter. The parameters of primary interest are the thresholds r_0 \le r_1. We let t = 0, 1, 2, ..., T, where T is the number of observations.

Author(s)

Daan de Jong.

References

Li, Guodong, Bo Guan, Wai Keung Li, en Philip L. H. Yu. ‘Hysteretic Autoregressive Time Series Models’. Biometrika 102, nr. 3 (september 2015): 717–23.

Zhu, Ke, Philip L H Yu, en Wai Keung Li. ‘Testing for the Buffered Autoregressive Process’. Munich Personal RePEc Archive, (november 2013).

Examples

z <- z_sim(n_t = 200, n_switches = 5, start_regime = 1)
sim <- hystar_sim(z = z, r = c(-.5, .5), d = 2, phi_R0 = c(0, .6), phi_R1 = 1)
plot(sim)
fit <- hystar_fit(sim$data)
summary(fit)