warSim {WRI}

Generate simulation data

Description

Generate WAR(p) simulation data sets: samples simulated from a WAR(3) model similar to the specification in Section 4 of the referenced paper.

Usage

warSim()

Value

A list of:

sample.ts

one simulation run chosen from sample.ts.full

sample.ts.full

1000 simulation runs, each of which consists of a sample time series (of length 100) of quantile functions generated by a WAR(3) model as specified by the reference paper

quantile.grid

the grid over which the quantile functions in sample.ts.full are evaluated

References

Wasserstein Autoregressive Models for Density Time Series, Chao Zhang, Piotr Kokoszka, Alexander Petersen, 2022