# This is to simulate a function an uncorrelated linear time series.
# The innovations in this time series are from a chi-square but you can
# use what you want.
artwist = function(a,n1){
n = (n1+200+1)
# generate the innovations
gen = (rchisq(n,1)-1)
x = rep(0,n)
for(j in c(2:n)){
x[j] = (a*x[j-1]+gen[j])
}
y = (x[-n] - (a/(1-a**2))*gen[-1])
y1 = y[-c(1:200)]
return(y1)
}
#####
# Test
# showing that it is uncorrelated
test = artwist(-0.6,400)
acf(test)
##
# showing that there is correlation in the squares (for the non-Gaussian case)
acf(test**2)