ts-models-QAR1 {quantspec}

Simulation of an QAR(1) time series.

Description

Returns a simulated time series (Y_t) that fulfills the following equation:

Y_t = \theta_1(U_t) Y_{t-1} + \theta_0(U_t),

where \theta_1 and \theta_0 are parameters and U_t is independent white noise with uniform [0,1] marginal distributions.

Usage

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

Arguments

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]

Value

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

Examples

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