Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: gentar genexpar genarma genarch

Quantlet: 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

Example:

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]

Result:

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

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Rong Chen, Christian Hafner, 970723
(C) MD*TECH Method and Data Technologies, 21.9.2000