ngsim {TSSS} | R Documentation |
Simulation by non-Gaussian state space model.
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, ...)
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 | ||||||||||||||
arcoef |
AR coefficients. | ||||||||||||||
ar |
initial values of AR component. | ||||||||||||||
noisew |
type of the observational noise.
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wminmax |
lower and upper bound of observational noise. | ||||||||||||||
paramw |
parameter of the observational noise density.
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noisev |
type of the system noise.
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vminmax |
lower and upper bound of system noise. | ||||||||||||||
paramv |
parameter of the system noise density.
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seed |
arbitrary positive integer to generate a sequence of uniform random numbers. The default seed is based on the current time. | ||||||||||||||
plot |
logical. If | ||||||||||||||
... |
further arguments to be passed to |
An object of class "simulate"
, giving simulated data of non-Gaussian
state space model.
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
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))