ltsa (version 1.4.6.1)

DLSimulate: Simulate linear time series

Description

The Durbin-Levinsion recursions are used to simulate a stationary time series given an unit innovation sequence and given autocovariance function. Requires $$O(n^2)$$ flops.

Usage

DLSimulate(n, r, useC = TRUE, rand.gen = rnorm, ...)

Value

simulated time series of length n

Arguments

n

length of time series to be generated

r

autocovariances, lags 0, ...,

useC

=TRUE, use C interface. Otherwise direct computation.

rand.gen

random number generator to use

...

optional arguments passed to rand.gen

Author

A.I. McLeod

Details

See Hipel and McLeod (1994) or McLeod, Yu and Krougly (2007).

References

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

DHSimulate, SimGLP, arima.sim

Examples

#Simulate hyperbolic decay time series 
#with Hurst coefficient, H=0.9
n<-2000
H<-0.9
alpha<-2*(1-H)  #hyperbolic decay parameter
r<-(1/(1:n))^alpha
z<-DLSimulate(n, r)
plot.ts(z)
#can use HurstK function in FGN library to estimate H