rtimeseries {ExtremeRisks}R Documentation

Simulation of One-Dimensional Temporally Dependent Observations

Description

Simulates samples from parametric families of time series models.

Usage

rtimeseries(ndata, dist="studentT", type="AR", par, burnin=1e+03)

Arguments

ndata

A positive interger specifying the number of observations to simulate.

dist

A string specifying the parametric family of the innovations distribution. By default dist="studentT" specifies a Student-t family of distributions. See Details.

type

A string specifying the type of time series. By default type="AR" specifies a linear Auto-Regressive time series. See Details.

par

A vector of (1 x p) parameters to be specified for the univariate time series parametric family. See Details.

burnin

A positive interger specifying the number of initial observations to discard from the simulated sample.

Details

For a time series class (type) with a parametric family (dist) for the innovations, a sample of size ndata is simulated. See for example Brockwell and Davis (2016).

Value

A vector of (1 x n) observations simulated from a specified time series model.

Author(s)

Simone Padoan, simone.padoan@unibocconi.it, http://mypage.unibocconi.it/simonepadoan/; Gilles Stupfler, gilles.stupfler@ensai.fr, http://ensai.fr/en/equipe/stupfler-gilles/

References

Brockwell, Peter J., and Richard A. Davis. (2016). Introduction to time series and forecasting. Springer.

Padoan A.S. and Stupfler, G. (2020). Extreme expectile estimation for heavy-tailed time series. arXiv e-prints arXiv:2004.04078, https://arxiv.org/abs/2004.04078.

See Also

expectiles

Examples

# Data simulation from a 1-dimensional AR(1) with univariate Student-t
# distributed innovations

tsDist <- "studentT"
tsType <- "AR"

# parameter setting
corr <- 0.8
df <- 3
par <- c(corr, df)

# sample size
ndata <- 2500

# Simulates a sample from an AR(1) model with Student-t innovations
data <- rtimeseries(ndata, tsDist, tsType, par)

# Graphic representation
plot(data, type="l")
acf(data)


[Package ExtremeRisks version 0.0.4 Index]