gen.glambda.wge: Function to generate a g(lambda) realization
Description
This function generates a g(lambda) TVF realization as discussed in Chapter 13 of Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott
Usage
gen.glambda.wge(n, lambda, phi =0, offset = 20, vara = 1, plot = TRUE, sn = 0)
Value
This function simply generates and (optionally plots) an ARMA realization
Arguments
n
Length of realization to be generated
lambda
The lambda involved in the g(lambda) time transformation - see Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott
phi
Vector of AR coefficients
vara
White noise variance, default=1
offset
The offset parameter in a g(lambda) process. See section 13.2 in Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott
plot
Logical: TRUE=plot, FALSE=no plot
sn
determines the seed used in the simulation. sn=0 produces new/random realization each time. sn=positive integer produces same realization each time
Author
Wayne Woodward
References
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott