sim_parCoef {pcts} | R Documentation |
Generate a periodic autoregression model
Description
Generate a periodic autoregression model, possibly integrated.
Usage
sim_parCoef(period, n.root, sigma2 = rep(1, period), ...)
Arguments
period |
number of seasons in a cycle. |
n.root |
number of non-zero roots, see details. |
sigma2 |
variances of the innovations. |
... |
additional arguments to be passed down to |
Details
sim_parCoef
uses the multi-companion method to generate the
model. The function is essentially a wrapper for sim_pcfilter
.
The order of the filter is set to n.root
for each season. Part
of the spectral information may be specified with the "..."
arguments, see sim_pcfilter
and sim_mc
for
a discussion of this.
Value
a periodic autoregression model as a list with elements:
ar |
a matrix whose |
sigma2 |
the innovation variances, a numeric vector. |
Author(s)
Georgi N. Boshnakov
References
Boshnakov GN, Iqelan BM (2009). “Generation of time series models with given spectral properties.” J. Time Series Anal., 30(3), 349–368. ISSN 0143-9782, doi:10.1111/j.1467-9892.2009.00617.x.
See Also
Examples
sim_parCoef(2, 4) # 2 seasons
sim_parCoef(2, 4, sigma2 = c(2, 4))
sim_parCoef(2, 1)
sim_parCoef(4, 2) # 4 seasons
sim_parCoef(period = 4, n.root = 6,
eigabs = c(1, 1, 1, 0.036568887, 0.001968887),
type.eigval = c("cp", "r", "r", "r", "r"),
eigsign = c(pi/2, 1, -1, 1, -1))