weakARMA (version 1.0.3)

wnPT: Weak white noise

Description

Simulates an uncorrelated but dependant noise process.

Usage

wnPT(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 \(X_{i} = Z_{i}Z_{i-1}...Z_{i-k}\) , 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_SQ, simGARCH

Examples

# NOT RUN {
wnPT(100)
wnPT(100, sigma = 1, k = 1)
wnPT(100, k = 0) #strong noise
# }