Vec ArModel::simulate(int n, const Vec &y0) const {
if(y0.size() != number_of_lags()){
ostringstream err;
err << "Error in ArModel::simulate." << endl
<< "Initial state value y0 was size " << y0.size()
<< ", but the model has " << number_of_lags() << " lags."
<< endl;
report_error(err.str());
}
const Vec &phi(this->phi());
std::deque<double> lags(y0.rbegin(), y0.rend());
Vec ans;
ans.reserve(n);
for(int i = 0; i < n; ++i) {
double mu = 0;
for(int lag = 0; lag < number_of_lags(); ++lag) {
mu += phi[lag] * lags[lag];
}
double y = rnorm(mu, sigma());
lags.push_front(y);
lags.pop_back();
ans.push_back(y);
}
return ans;
}
Vec ArModel::simulate(int n) const {
int p = number_of_lags();
Vec acf = autocovariance(p);
Spd Sigma(p);
Sigma.diag() = acf[0];
for(int i = 1; i < p; ++i) {
Sigma.subdiag(i) = acf[i];
Sigma.superdiag(i) = acf[i];
}
Vec zero(p, 0.0);
Vec y0 = rmvn(zero, Sigma);
return simulate(n, y0);
}
Vector ArModel::simulate(int n, RNG &rng) const {
int p = number_of_lags();
Vector acf = autocovariance(p);
SpdMatrix Sigma(p);
Sigma.diag() = acf[0];
for (int i = 1; i < p; ++i) {
Sigma.subdiag(i) = acf[i];
Sigma.superdiag(i) = acf[i];
}
Vector zero(p, 0.0);
Vector y0 = rmvn(zero, Sigma);
return simulate(n, y0, rng);
}
