univtoydataset {samurais}

A simulated non-stationary time series with regime changes.

Description

A simulated non-stationary time series with regime changes. This time series is used for illustration.

Usage

univtoydataset

Format

A data frame with 670 rows and 2 columns:

x

The covariate variable which is the time in this time-series case.

y

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 -2 and unit variance.

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