RGENERATE (version 1.3)

generate: generate

Description

generate

It generates a multivarite random series according to the model x

Usage

generate(x = NULL, ...)
"generate"(x, FUN = rnorm, n = 100, K = 3, names = NULL, cov = NULL, gap.filling = NULL, ...)
"generate"(x, FUN = rnorm, n = 100, names = NULL, noise = NULL, exogen = NULL, xprev = NULL, gap.filling = NULL, ...)
"generate"(x, FUN = rnorm, n = 100, names = NULL, noise = NULL, exogen = NULL, xprev = NULL, gap.filling = NULL, ...)
"generate"(x, FUN = rnorm, n = 100, names = NULL, noise = NULL, exogen = NULL, xprev = NULL, extremes = TRUE, type = 3, gap.filling = NULL, GPCA.row.gap.filling.option = TRUE, ...)
"generate"(x, FUN = rnorm, n = 100, noise = NULL, xprev = NULL, names = NULL, gap.filling = NULL, type = c("autoregression", "covariance"), ...)
"generate"(x, factor.series = names(x), n = NA, ...)
"generate"(x, origin, n, ...)

Arguments

x

null object or the model used for random generation , e.g. a VAR model as a varest-class or varest2-class object. Default is NULL.

FUN

random function of the probability distribution used for noise random generation. Default is rnorm. See http://cran.r-project.org/web/views/Distributions.html

n

number of generations requested

names

null object or string vectors or names of the variables to be generated simultaneously. Default is NULL.

K

number of the variables to be generated simultaneously, i.e. the K parameters of a VAR. It is automatically detected by x, names or cov, if one of these is not NULL.

cov

null object or covariance matrix of the random variables to be generated simultaneously. Default is NULL, not used in case this information can be detected from x.

noise

null object or a generic external noise for x model residuals, e.g. standard white noise, for random generation with the model x. Default is NULL. If NULL the noise is automatically calculated.

exogen

null object or amatrix or data frame with exogeneous variables (predictors) id requested by x. Default is NULL

xprev

null object or initial condition of the multivariate random process to be generated. Default is NULL.

gap.filling

data frame with time series with gabs (NA values) to be filled. Default is NULL and not considered, otherwise the method returns this data frame with NA row replaced with generated (e.g auto-regressed) values.

GPCA.row.gap.filling.option

logical value. Default is TRUE. In case of GPCAvarest2-class objects, If gap.filling contains both NA and finite values in the same row, this row will contains all NA values after GPCA. In this case all row values are generated through auto-regression. If GPCA.row.gap.filling.option all insterted non-NA gap.filling values are repleced before returning the function value. Otherwise, in the rows with NAs all values are re-generated. The option TRUE is not safe in case the gaps are vary long becouse the genereted values is used for subsequent auto-regrossion.

type

character string used in some method implementations. See inv_GPCA. In the matrix implementation, default is "autoregression", i.e. the matrix is used as a vector auto-regression coefficient, if it is "covariance" the method genereted a sample with covariance matrix given by x.

...

further arguments for FUN

extremes

see inv_GPCA

factor.series

factor series used by 'factor.series'

origin

start date for generation. See adddate

Value

a matrix or a data frame object

See Also

getVARmodel

Examples

library(RGENERATE)

set.seed(122)
NSTEP <- 1000
x <- rnorm(NSTEP)
y <- x+rnorm(NSTEP)
z <- c(rnorm(1),y[-1]+rnorm(NSTEP-1))
df <- data.frame(x=x,y=y,z=z)
var <- VAR(df,type="none")
gg <- generate(var,n=20)

cov <- cov(gg)

ggg <- generate(FUN=rnorm,n=NSTEP,cov=cov)


library(RMAWGEN)
exogen <- as.data.frame(x+5)
gpcavar <- getVARmodel(data=df,suffix=NULL,p=3,n_GPCA_iteration=5,
n_GPCA_iteration_residuals=5,exogen=exogen)
gpcagg <- generate(gpcavar,n=20,exogen=exogen)

## Generate an auto-regrassive time-series with a generic matrix

A <- diag(c(1,-1,1))
mgg <- generate(A,n=100)

### Gap Filling Examples

 dfobs <- df
 dfobs[20:30,] <- NA
 n <- nrow(df)
 dffill <- generate(gpcavar,n=n,exogen=exogen,gap.filling=dfobs,names=names(dfobs))

qqplot(dfobs$y,dffill$y)
abline(0,1)

### Gap filling with matrix

mgg_n <- mgg
mgg_n[20:30,2] <- NA

mgg_nfill <- generate(A,gap.filling=mgg_n)

print(mgg_n[1:31,])
print(mgg_nfill[1:31,])

dfobs2 <- df
dfobs2[20:30,2] <- NA
n <- nrow(df)
dffill2 <- generate(gpcavar,n=n,exogen=exogen,gap.filling=dfobs2,names=names(dfobs2))

qqplot(dfobs$y,dffill$y)
abline(0,1)

### generation with 'generetion.matrix'
### and matrix 'x' is a covariance matrix

covariance <- array(0.5,c(3,3))

diag(covariance) <- 1

set.seed(127)
ngns <- 1000
gg1 <- generate(FUN=rnorm,n=ngns,cov=covariance)
set.seed(127)
gg2 <- generate(covariance,type="covariance",n=ngns)


## generate with a list of covariance matrix
ndim <- 5
dim <- c(ndim,ndim)
CS1 <- array(0.3,dim)
CS2 <- array(0.5,dim)
CS3 <- array(0.7,dim)
CS4 <- array(0.1,dim)

diag(CS1) <- 1
diag(CS2) <- 1
diag(CS3) <- 1
diag(CS4) <- 1

list <- list(CS1=CS1,CS2=CS2,CS3=CS3,CS4=CS4)

series <- rep(1:4,times=4,each=100)
series <- sprintf("CS%d",series)
names_A <- sprintf("A%d",1:ndim)
ggs <- generate(list,factor.series=series,FUN=rnorm,type="covariance",names=names_A)

ggs_CS1 <- ggs[series=="CS1",]
cov(ggs_CS1)

ggs_CS3 <- ggs[series=="CS3",]
cov(ggs_CS3)