wnPT_SQ | R Documentation |

Simulates an uncorrelated but dependant noise process.

wnPT_SQ(n, sigma = 1, k = 1, ninit = 100)

`n` |
Number of observations. |

`sigma` |
Standard deviation. |

`k` |
Integer corresponding to the number of past observation will be used. |

`ninit` |
Length of 'burn-in' period. |

Vector of size `n`

containing a nonlinear sequence *X_{i}* such as
*X_{i} = Z^{2}_iZ_{i-1}...Z_{i-k}* , where *Z_{i}* is a sequence of iid
random variables mean-zero random variable with variance *σ^2*.

Romano, J. and Thombs, L. 1996, Inference for autocorrelation under weak assumptions,
*Journal of the American Statistical Association*, vol. 91, no. 434, pp. 590-600

`wnRT`

, `wnPT`

, `simGARCH`

wnPT_SQ(100) wnPT_SQ(100, sigma = 1, k = 1)

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