Library: | times |
See also: | gentar genexpar genarma genarch |
Macro: | genbil | |
Description: | generates a bilinear process x(t)=sum phi(i)x(t-i) + sum theta(j)e(t-j) + sum sum gamma(i,j)x(t-i)e(t-j) |
Usage: | genbil(phi,theta,gamma,noise) | |
Input: | ||
phi | vector (length p=AR order): AR coefficients | |
theta | vector (length q=MA order): MA coefficients | |
gamma | vector (length p*q): Bilinear coefficient input order: (1,1),(1,2), ... (1,q), (2,1) ... (p, q) | |
noise | vector (length n=sample size needed): noise vector | |
Output: | ||
x | generated Bilinear process |
library("times") randomize(0) x=genbil(0.5|0.2, 0.3|-0.3, 0.8|0|0|0.3,normal(300)) x[1:5]
Contents of _tmp [1,] 0.039206 [2,] -0.70382 [3,] 1.9327 [4,] 3.6359 [5,] -2.872
Library: | times |
See also: | gentar genexpar genarma genarch |