Dear Users,
I follow Andreas idea to simulate an ar(1) model with a new kind of innovation
process.
The new argument rand.gen, for the arima.sim function, I'm trying to generate
as:
tGarchGen <- function(a, b, c) {
# must return a vector of random deviates (eta(t))
for (t in 1:100){
z(t) <- c+a*(eta(t)^2)+b*z(t-1)
eta(t) <-rt(100, 5)*sqrt(z(t)) #rt is the R random t-Student generator
function rt(n,df)
}
}
arModel <- list(ar=0, ma = 0, order = c(0, 1, 0))
arima.sim(arModel, n = 100, rand.gen = tGarchGen)
But, since I'm a newbie in R, course the loop doesn't work.
Finally, how I do to declare the parameters (a,b,c,n,df), including the loop's
length in a way I can change it at the beginning of the program?
Any help, please?
Thanks in advance,
Rick
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