https://github.com/cran/ltsa
Tip revision: 78f723c2b3cb9fea2e63beb1ee3db9c9efa2b7ee authored by A.I. McLeod on 13 August 2010, 00:00:00 UTC
version 1.3
version 1.3
Tip revision: 78f723c
DLSimulate.Rd
\name{DLSimulate}
\alias{DLSimulate}
\title{ Simulate linear time series }
\description{
The Durbin-Levinsion recursions are used to simulate a stationary
time series given an unit innovation sequence and given autocovariance
function. Requires \deqn{O(n^2)} flops.
}
\usage{
DLSimulate(n, r, useC = TRUE, rand.gen = rnorm, ...)
}
\arguments{
\item{n}{ length of time series to be generated }
\item{r}{ autocovariances, lags 0, ..., }
\item{useC}{ =TRUE, use C interface. Otherwise direct
computation. }
\item{rand.gen}{ random number generator to use}
\item{\dots}{ optional arguments passed to \code{rand.gen} }
}
\details{
See Hipel and McLeod (1994) or
McLeod, Yu and Krougly (2007).
}
\value{
simulated time series of length n
}
\references{
McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007).
Algorithms for Linear Time Series Analysis,
Journal of Statistical Software.
}
\author{ A.I. McLeod }
\seealso{
\code{\link{DHSimulate}},
\code{\link{SimGLP}},
\code{\link[FGN]{SimulateFGN}}
code{\link{arima.sim}}
}
\examples{
#Simulate hyperbolic decay time series
#with Hurst coefficient, H=0.9
n<-2000
H<-0.9
alpha<-2*(1-H) #hyperbolic decay parameter
r<-(1/(1:n))^alpha
z<-DLSimulate(n, r)
plot.ts(z)
#can use HurstK function in FGN library to estimate H
}
\keyword{ ts }
\keyword{ datagen }