ts-models-AR1

Returns a simulated time series $(Y_t)$ that fulfills the following equation:
$$Y_t = a Y_{t-1} + \epsilon_t,$$
where $a$ is a parameter and $\epsilon_t$ is independent white
noise with marginal distribution specified by the parameter <code>innov</code>.

Methods to determine, smooth and plot quantile periodograms for
univariate and multivariate time series. See Kley (2016) <doi:10.18637/jss.v070.i03>
for a description and tutorial.

Tobias Kley

quantspec

Quantile-Based Spectral Analysis of Time Series

Stefan Birr

ts-models-AR1 function

<dl><dt>n</dt>
<dd>length of the time series to be returned</dd>
<dt>a</dt>
<dd>parameter of the model</dd>
<dt>overhead</dt>
<dd>an integer specifying the ``warmup'' period to reach an
approximate stationary start for the times series</dd>
<dt>innov</dt>
<dd>a function that generates a random number each time
<code>innov(1)</code> is called; used to specify the distribution of
the innovations; <code>rnorm</code> by default</dd></dl>

Arguments

Simulation of an AR(1) time series. — ts-models-AR1

<dl>

<dt>n</dt>
<dd>length of the time series to be returned</dd>


<dt>a</dt>
<dd>parameter of the model</dd>


<dt>overhead</dt>
<dd>an integer specifying the ``warmup'' period to reach an
approximate stationary start for the times series</dd>


<dt>innov</dt>
<dd>a function that generates a random number each time
<code>innov(1)</code> is called; used to specify the distribution of
the innovations; <code>rnorm</code> by default</dd>

</dl>

ts-models-AR1: Simulation of an AR(1) time series.

Description

Usage

Value

Arguments

Examples