wnPT_SQ {weakARMA}

Weak white noise

Description

Simulates an uncorrelated but dependant noise process.

Usage

wnPT_SQ(n, sigma = 1, k = 1, ninit = 100)

Arguments

n

Number of observations.

sigma

Standard deviation.

k

Integer corresponding to the number of past observation will be used.

ninit

Length of 'burn-in' period.

Value

Vector of size n containing a nonlinear sequence X_{i} such as X_{i} = Z^{2}_iZ_{i-1}...Z_{i-k} , where Z_{i} is a sequence of iid random variables mean-zero random variable with variance \sigma^2.

References

Romano, J. and Thombs, L. 1996, Inference for autocorrelation under weak assumptions, Journal of the American Statistical Association, vol. 91, no. 434, pp. 590-600

See Also

wnRT, wnPT, simGARCH

Examples

wnPT_SQ(100)
wnPT_SQ(100, sigma = 1, k = 1)