tensorTS (version 1.0.1)

tenAR.sim: Generate TenAR(p) tensor time series

Description

Simulate from the TenAR(p) model.

Usage

tenAR.sim(t, dim, R, P, rho, cov, A = NULL, Sig = NULL)

Value

A tensor-valued time series generated by the TenAR(p) model.

Arguments

t

length of output series, a strictly positive integer.

dim

dimension of the tensor at each time.

R

Kronecker rank for each lag.

P

autoregressive order.

rho

spectral radius of coefficient matrix \(\Phi\).

cov

covariance matrix of the error term: diagonal ("iid"), separable ("mle"), random ("svd").

A

coefficient matrices. If not provided, they are randomly generated according to given dim, R, P and rho. It is a multi-layer list, the first layer for the lag \(1 \le i \le P\), the second the term \(1 \le r \le R\), and the third the mode \(1 \le k \le K\). See "Details" of tenAR.est.

Sig

only if cov=mle, a list of initial values of \(\Sigma_1,\ldots,\Sigma_K\). The default are identity matrices.

See Also

tenFM.sim

Examples

set.seed(123)
dim <- c(3,3,3)
xx <- tenAR.sim(t=500, dim, R=2, P=1, rho=0.5, cov='iid')