simulated time series of co-integration analysis

 

We might need to simulate two time series with pre-defined lag and linear combination to test co-integration analysis, 

 

For example, we can try: Y(t) = a * sin(X(t-DetlaT)) + b + noise

Where DeltaT is the lag. 

 

We can use Cross-correlation to verify the lag of DeltaT and linear combination.