bregress2 {mlrv}

Simulate data from time-varying time series regression model with change points

Description

Simulate data from time-varying time series regression model with change points

Usage

bregress2(nn, cp = 0, delta = 0, type = "norm")

Arguments

nn

sample size

cp

number of change points. If cp is between 0 and 1, it specifies the location of the single change point

delta

double, magnitude of the jump

type

type of distributions of the innovations, default normal. It can also be "t4", "t5" and "t6".

Value

a list of data, x covariates, y response and e error. n = 300 data = bregress2(n, 2, 1) # time series regression model with 2 changes points