tvar2sim {lpacf}

Simulate a realization from a particular TVAR(2) model.

Description

Simulates a realization from a TVAR(2) model where both parameters move from -1.1 to 0.5 in equal steps over 512 time points. The realization is of length 512. The innovations are normally distributed with mean zero and standard deviation of sd.

Usage

tvar2sim(sd = 1)

Arguments

sd

This is the standard deviation of the Gaussian innovation.

Details

This function is easily converted into one that does the same thing but for a different sample size.

Value

A realization of the aforementioned TVAR(2) process.

Author(s)

Guy Nason.

See Also

lpacf

Examples

#
# Generate realization from the TVAR(2) process
#
x <- tvar2sim()
#
# Maybe plot it
#
ts.plot(x)