Generate R-many conditionally independent MA(4) time series

generate_MA4() generates generates R-many time series where the MA(4) coefficients used in the data generation are (-.3,-.6,-.3,.6). This is based on the MA(4) used in Granados-Garcia et al. (2022) .

Usage

generate_MA4(n, R = 1, burn = 50)

Arguments

n

A numeric vector that determines the length of the time series generated. Must contain R-many entries. Time series may be of different lengths.

R

A scalar indicating the number of conditionally independent time series to be generated. (default is 1).

burn

A scalar indicating the amount of burn-in to be used with stats::arima.sim(). (default is 50).

Value

The function returns a list containing:

ts_list	returns an R-long list each containing an (n \(\times\) 1) matrix of the generated time series.
true_theta	returns a (4 \(\times\) R) matrix of true generated MA(4) coefficients.

Details

No variation around the base coefficients is used in this data generation function.

Examples

R <- 20
## For time series of different lengths:
n <- c(rep(500, R / 2), rep(800, R / 2))
burn <- 50
ts <- generate_MA4(n = n, R = R, burn = burn)$ts_list

## Returns an R-long list object each with a (500 x 1) matrix object,
## and a (4 x 20) matrix of true MA(4) coefficients - all the same value.

## Plot
## Create an empty plot
plot(
  x = c(),
  y = c(),
  xlim = c(0, 800),
  ylim = range(ts),
  ylab = "",
  xlab = "time"
)
for (r in 1:10) {
  lines(ts[[r]][, 1], col = "blue")
}
for (r in 11:R) {
  lines(ts[[r]][, 1], col = "red")
}