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: genexpar genbil genarma genarch

Macro: gentar
Description: generates a Threshold AR process

Usage: x=gentar(nr,thrlag,thr,phi,noise)
Input:
nr integer: number of threshold regions
thrlag integer: threshold lag
thr vector (length nr-1): threshold values that seperates the regions
phi vector (length nr*p): AR coefficients in each region. first p values are for the first region, etc.
noise vector (length n=sample size needed): noise vector
Output:
x generated TAR process

Example:
library("times")
randomize(0)
x=gentar(2,1,0,0.5|-0.5,normal(300))
x[1:5]
Result:
Contents of _tmp 
[1,] -0.89391 
[2,]  -1.4547 
[3,]   1.2229 
[4,]  -1.9166 
[5,]  -2.3925 

Library: times
See also: genexpar genbil 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, 28.6.1999