ngsim

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Simulation by Non-Gaussian State Space Model

Simulation by non-Gaussian state space model.

Keywords
ts
Usage
ngsim(n = 200, trend = NULL, seasonal.order = 0, seasonal = NULL, arcoef = NULL,
ar = NULL, noisew = 1, wminmax = c(-1, 1), paramw = NULL, noisev = 1,
vminmax = c(-1, 1), paramv = NULL, seed = NULL, plot = TRUE, …)
Arguments
n

the number of simulated data.

trend

initial values of trend component of length at most 2.

seasonal.order

seasonal order. (0 or 1)

seasonal

if seasonal.order > 0, initial values of seasonal component of length $p-1$, where $p$ is the number of season in one period.

arcoef

AR coefficients.

ar

initial values of AR component.

noisew

type of the observational noise.

 -1 : Cauchy random number (without an inverse function) -2 : exponential distribution (without an inverse function) -3 : double exponential distribution (without an inverse function) 0 : double exponential distribution (+ Euler's constant) 1 : normal distribution, 2 : Pearson distribution,

wminmax

lower and upper bound of observational noise.

paramw

parameter of the observational noise density.

 noisew = 1 : variance

noisev

type of the system noise.

 -1 : Cauchy random number (without an inverse function) -2 : exponential distribution (without an inverse function) -3 : double exponential distribution (without an inverse function) 0 : double exponential distribution (+ Euler's constant) 1 : normal distribution 2 : Pearson distribution

vminmax

lower and upper bound of system noise.

paramv

parameter of the system noise density.

 noisev = 1 : variance

seed

arbitrary positive integer to generate a sequence of uniform random numbers. The default seed is based on the current time.

plot

logical. If TRUE (default), simulated data are plotted.

further arguments to be passed to plot.simulate.

Value

An object of class "simulate", giving simulated data of non-Gaussian state space model.

References

Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.

• ngsim
Examples
# NOT RUN {
ar1 <- ngsim(n = 400, arcoef = 0.95, noisew = 1, paramw = 1, noisev = 1,
paramv = 1, seed = 555)
plot(ar1, use = c(201, 400))

ar2 <- ngsim(n = 400, arcoef = c(1.3, -0.8), noisew = 1, paramw = 1, noisev = 1,
paramv = 1, seed = 555)
plot(ar2, use = c(201, 400))

# }

Documentation reproduced from package TSSS, version 1.2.3, License: GPL (>= 2)

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