ts-models: Functions to simulate from the time series models in Kley et....

In quantspec: Quantile-Based Spectral Analysis of Time Series

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")

quantspec documentation built on Sept. 11, 2024, 9:15 p.m.