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

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

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