Simulate linear time series
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.
DLSimulate(n, r, useC = TRUE, rand.gen = rnorm, ...)
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 |
See Hipel and McLeod (1994) or McLeod, Yu and Krougly (2007).
simulated time series of length n
A.I. McLeod
McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.
DHSimulate,
SimGLP,
codearima.sim
#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
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