CepLDA (version 1.0.0)

r.cond.ar2: Generate Random AR(2) Time Series

Description

Simulates multiple AR(2) time series.

Usage

r.cond.ar2(N,nj,r.phi1,r.phi2,r.sig2)

Arguments

N

Length of the series

nj

Number of series generated.

r.phi1

Range of first AR order coefficient. It is a vector contains minimum and maximum possible coefficients.

r.phi2

Range of second AR order coefficient. It is a vector contains minimum and maximum possible coefficients.

r.sig2

Range of conditional innovation variances. It is a vector contains minimum and maximum possible variances.

Value

a list with 2 elements

X

N by nj matrix of time series

cep

3 by nj matrix of parameters (phi1, phi2, sig2)

References

Krafty, RT (2016) Discriminant Analysis of Time Series in the Presence of Within-Group Spectral Variability. Journal of Time series analysis

See Also

cep.lda

Examples

## Simulate data
nj = 50  #number of series in training data
N = 500  #length of time series
data1 <- r.cond.ar2(N=N,nj=nj,r.phi1=c(.01,.7),r.phi2=c(-.12,-.06),r.sig2=c(.3,3))
data2 <- r.cond.ar2(N=N,nj=nj,r.phi1=c(.5,1.2),r.phi2=c(-.36,-.25),r.sig2=c(.3,3))
data3 <- r.cond.ar2(N=N,nj=nj,r.phi1=c(.9,1.5),r.phi2=c(-.56,-.75),r.sig2=c(.3,3))
data <- cbind(data1$X,data2$X,data3$X)
y <- c(rep(1,nj),rep(2,nj),rep(3,nj))