quantspec (version 1.2-4)

ts-models-QAR1: 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
)

Value

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

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 \([0,1]\)

Examples

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