ts-models: Functions to simulate from the time series models in Kley et....
| ts-models | R Documentation |
Functions to simulate from the time series models in Kley et. al (2016).
Description
Functions to simulate from the time series models in Kley et. al (2016).
Usage
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 L_1-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
# Plot sample paths:
plot(ts1(100), type="l")
plot(ts2(100), type="l")
plot(ts3(100), type="l")
