gen.glambda.wge {tswge}

Function to generate a g(lambda) realization

Description

This function generates a g(lambda) TVF realization as discussed in Chapter 13 of Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott

Usage

gen.glambda.wge(n, lambda, phi =0, offset = 20, vara = 1, plot = TRUE, sn = 0)

Arguments

n

Length of realization to be generated

lambda

The lambda involved in the g(lambda) time transformation - see Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott

phi

Vector of AR coefficients

vara

White noise variance, default=1

offset

The offset parameter in a g(lambda) process. See section 13.2 in Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott

plot

Logical: TRUE=plot, FALSE=no plot

sn

determines the seed used in the simulation. sn=0 produces new/random realization each time. sn=positive integer produces same realization each time

Value

This function simply generates and (optionally plots) an ARMA realization

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

gen.glambda.wge(n=500, lambda=0.5,phi=c(1.9,-.99), vara=1, plot=TRUE,sn=0)