LinearDetect (version 0.1.5)

var.sim.break: Generating non-stationary ARMA data.

Description

Generating non-stationary ARMA data.

Usage

var.sim.break(
  nobs,
  arlags = NULL,
  malags = NULL,
  cnst = NULL,
  phi = NULL,
  theta = NULL,
  skip = 200,
  sigma,
  brk = nobs + 1
)

Arguments

nobs

number of time points

arlags

the true AR order

malags

the true MA order

cnst

the constant

phi

parameter matrix of the AR model

theta

parameter matrix of the MA model

skip

the number of time points to skip at the begining (for stable data)

sigma

covariance matrix of the white noise

brk

vector of break points

Value

Matrice of time series data and white noise data