freqdom (version 1.0.4)

linproc: Generate a linear process from

Description

Compute $$Y_t = \sum_{k=-q}^p A_k X_{t-k}$$ where \(X_t\) is a stationary multivariate time series and \((A_k)_{-q \leq k \leq p}\) is a filter.

Usage

linproc(X, A, noise = NULL)

Arguments

X

process process

A

time-domain operator series

noise

function taking dimension D and returning D-dimentional vector

Value

Multivariate linear process

See Also

speclagreg

Examples

# NOT RUN {
d = 2
n = 100
X = rar(n,d=d)

OP = array(0,c(d,d,2))
OP[,,1] = 2 * diag(d:1)/d
OP[,,2] = 1.5 * diag(d:1)/d
A = timedom(OP, 0:1)

Y = linproc(X,A,noise=rnorm)
# }