| 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 | |
library("times")
randomize(0)
x=gentar(2,1,0,0.5|-0.5,normal(300))
x[1:5]
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 |