lpacf (version 1.0.1)

tvar2sim: Simulate a realization from a particular TVAR(2) model.

Description

Simulates a realization from a TVAR(2) model where both parameters move from -1.1 to 0.5 in equal steps over 512 time points. The realization is of length 512. The innovations are normally distributed with mean zero and standard deviation of sd.

Usage

tvar2sim(sd = 1)

Value

A realization of the aforementioned TVAR(2) process.

Arguments

sd

This is the standard deviation of the Gaussian innovation.

Author

Guy Nason.

Details

This function is easily converted into one that does the same thing but for a different sample size.

See Also

lpacf

Examples

#
# Generate realization from the TVAR(2) process
#
x <- tvar2sim()
#
# Maybe plot it
#
ts.plot(x)