AR1 {codadiags}

R Documentation

Generate auto-regressive order 1 sequence

Description

Generate auto-regressive order 1 sequence

Usage

  AR1(length = 1000, mean = 0, sd = 1, rho = 0.1,
    rand = function() {     rnorm(1) })

Arguments

length	size of the sequence
mean	mean value of the sequence \mu
sd	standard deviation of the sequence \sigma
rho	auto-correlation factor
rand	function to generate one random step

Value

Auto Regressive ("AR") sequence

X=\mu * \left\{ x_n \right\}_{1 \leq n \leq N}, x_1 = \sigma * u_1 / \sqrt{1-\rho^2}, x_n=\rho * x_{n-1} + \sigma * u_n

Examples

x = AR1()
plot(x,type='l',col=rgb(.5,0,0,.5))

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