geovol (version 1.0)

geovolSim: Simulate from a GEOVOL model

Description

Simulate from a GEOVOL model.

Usage

geovolSim(n, m, innovations = NULL, x.sd = 0.5, as.zoo = TRUE, verbose = FALSE)

Arguments

n

integer indicating the number of observations.

m

integer indicating the number of time series.

innovations

NULL or numeric vector with the innovations. If NULL, then standard normal innovations are generated with rnorm.

x.sd

numeric scalar indicating the standard deviation of the normal random variable, v, used to simulate the squared GEOVOL factor, x, according to the formula x = exp(v).

as.zoo

logical. If TRUE, then the returned result is of class zoo.

verbose

logical, if TRUE, the simulated time series, e, the innovations and the squared GEOVOL factor, x, are also returned.

Value

A matrix with the simulated values.

See Also

geovol, geovolTest,

Examples

# NOT RUN {
set.seed(123)

## Simulate from a GEOVOL model with s.d. 0.5 (default):
eSim <- geovolSim(n = 1000, m = 30)

## Simulate from a GEOVOL model with s.d. 1:
eSim <- geovolSim(n = 1000, m = 30, x.sd = 1)
# }