ts-models-QAR1: Simulation of an QAR(1) time series.

In quantspec: Quantile-Based Spectral Analysis of Time Series

Description

Returns a simulated time series (Y_t) that fulfills the following equation:

Y_t = θ_1(U_t) Y_{t-1} + θ_0(U_t),

where θ_1 and θ_0 are parameters and U_t is independent white noise with uniform [0,1] marginal distributions.

Usage

QAR1(
  n,
  th1 = function(u) {     1.9 * ((u - 0.5)) },
  overhead = 1000,
  th0 = qnorm
)

Arguments

n	length of the time series to be returned
th1	parameter function with one argument u defined on [0,1]
overhead	an integer specifying the “warmup” period to reach an approximate stationary start for the times series
th0	parameter function with one argument u defined on [0,1]

Value

Returns an QAR(1) time series with specified parameters.

Examples

plot(QAR1(100), type="l")

Example output

Loading required package: stats4

quantspec documentation built on July 15, 2020, 1:07 a.m.