Functions to simulate from the time series models in Kley et. al (2016).

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Description

Functions to simulate from the time series models in Kley et. al (2016).

Usage

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ts1(n)

ts2(n)

ts3(n)

Arguments

n

length of the time series to be returned

Details

ts1 QAR(1) model from Dette et. al (2015).

ts2 AR(2) model from Li (2012):

ts3 ARCH(1) model from Lee and Subba Rao (2012):

References

Dette, H., Hallin, M., Kley, T. & Volgushev, S. (2015). Of Copulas, Quantiles, Ranks and Spectra: an L1-approach to spectral analysis. Bernoulli, 21(2), 781–831. [cf. http://arxiv.org/abs/1111.7205]

Li, T.-H. (2012). Quantile Periodograms. Journal of the American Statistical Association, 107, 765–776.

Lee, J., & Subba Rao, S. (2012). The Quantile Spectral Density and Comparison based Tests for Nonlinear Time Series. http://arxiv.org/abs/1112.2759.

Examples

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# Plot sample paths:
plot(ts1(100), type="l")
plot(ts2(100), type="l")
plot(ts3(100), type="l")

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