| CIARsample {iAR} | R Documentation |
Simulate from a CIAR Model
Description
Simulates a CIAR Time Series Model
Usage
CIARsample(n, phiR, phiI, st, rho = 0L, c = 1L)
Arguments
n |
Length of the output time series. A strictly positive integer. |
phiR |
Real part of the coefficient of CIAR model. A value between -1 and 1. |
phiI |
Imaginary part of the coefficient of CIAR model. A value between -1 and 1. |
st |
Array with observational times. |
rho |
Correlation between the real and the imaginary part of the process. A value between -1 and 1. |
c |
Nuisance parameter corresponding to the variance of the imaginary part. |
Details
The chosen phiR and phiI values must satisfy the condition $|phiR + i phiI| < 1$.
Value
A list with the following components:
yArray with the simulated real part of the CIAR process.
t Array with observation times.
Sigma Covariance matrix of the process.
References
Elorrieta, F, Eyheramendy, S, Palma, W (2019). “Discrete-time autoregressive model for unequally spaced time-series observations.” A&A, 627, A120. doi: 10.1051/0004-6361/201935560, https://doi.org/10.1051/0004-6361/201935560.
See Also
Examples
n=300
set.seed(6714)
st<-gentime(n)
x=CIARsample(n=n,phiR=0.9,phiI=0,st=st,c=1)
plot(st,x$y,type='l')
x=CIARsample(n=n,phiR=-0.9,phiI=0,st=st,c=1)
plot(st,x$y,type='l')