# Script for Class 2
# SS link is www.stat.pitt.edu/stoffer/tsa2


# set working directory for convenience to place on your system

setwd("~/courses/stat910/")


# --- Threshold model

threshold.ar <- function(n,phi1,phi2,theta,n0=100) {
	y <- rnorm(n + n0);
	w <- rnorm(n + n0);
	for (t in 2:(n+n0)) {
		if(y[t-1] < theta) phi <- phi1 else phi <- phi2;
		y[t] <- phi * y[t-1] + w[t]
	}
	y[(n0+1):(n0+n)]
}

plot(threshold.ar(200,-.9,.8,1), type="l")

plot(threshold.ar(200,-1.5,.8,1), type="l")

plot(threshold.ar(200,1.5,.8,1), type="l")


# ---  Bilinear model

bilinear <- function(n,a,b,n0=100) {
	y <- rnorm(n + n0);
	w <- rnorm(n + n0);
	for (t in 2:(n+n0)) {
		y[t] <- a * y[t-1] + b * w[t] * y[t-1] + w[t]
	}
	y[(n0+1):(n0+n)]
}

plot(bilinear(400,.8,.2), type="l") 

plot(bilinear(400,-.7,.5), type="l") 

plot(bilinear(400,-.8,.7), type="l") 
  
plot(bilinear(400,-.8,-.8), type="l")