sim.pw.arma {wbsts} | R Documentation |
The function simulates a piecewise constant ARMA model with multiple change-points
sim.pw.arma(N, sd_u, b.slope, b.slope2, mac, br.loc)
N |
Length of the series |
sd_u |
A vector of the innovation standard deviation for every segment |
b.slope |
A vector of the AR(1) coefficients |
b.slope2 |
A vector of the AR(2) coefficients |
mac |
A vector of the MA(1) coefficients |
br.loc |
A vector with the location of the change-points |
A simulated series
cps=c(125,532,704)
y=sim.pw.arma(N = 1024,sd_u = 1,b.slope=c(0.7,0.3,0.9,0.1),
b.slope2 = c(0,0,0,0), mac = c(0.6,0.3,0,-0.5),br.loc = cps)[[2]]
ts.plot(y)
abline(v=cps,col="red")