R: Simulation of an QAR(1) time series.

ts-models-QAR1

R Documentation

Simulation of an QAR(1) time series.

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.

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

`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]

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

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