multivtoydataset {samurais}

A simulated non-stationary multidimensional time series with regime changes.

Description

A simulated non-stationary multidimensional time series with five regimes (segments). This time series is used for illustration.

Usage

multivtoydataset

Format

A data frame with 670 rows and 4 columns:

x

The covariate variable (the sampling time for time series).

y1

The first dimension of the time series. The latter has been generated as follows:

• First regime: 100 values of standard Normally distributed random numbers.

• Second regime: 120 values of Normally distributed random numbers with mean 7 and unit variance.

• Third regime: 200 values of Normally distributed random numbers with mean 4 and unit variance.

• Fourth regime: 100 values of Normally distributed random numbers with mean -1 and unit variance.

• Fifth regime: 150 values of Normally distributed random numbers with mean 3.5 and unit variance.

y2

The second dimension of the time series. The latter has been generated as follows:

• First regime: 100 values of Normally distributed random numbers with mean 1 and unit variance.

• Second regime: 120 values of Normally distributed random numbers with mean 5 and unit variance.

• Third regime: 200 values of Normally distributed random numbers with mean 6 and unit variance.

• Fourth regime: 100 values of Normally distributed random numbers with mean -2 and unit variance.

• Fifth regime: 150 values of Normally distributed random numbers with mean 2 and unit variance.

y3

The third dimension of the time series. The latter has been generated as follows:

• First regime: 100 values of Normally distributed random numbers with mean -2 and unit variance.

• Second regime: 120 values of Normally distributed random numbers with mean 10 and unit variance.

• Third regime: 200 values of Normally distributed random numbers with mean 8 and unit variance.

• Fourth regime: 100 values of Normally distributed random numbers and unit variance.

• Fifth regime: 150 values of Normally distributed random numbers with mean 5 and unit variance.