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

μ

sd

standard deviation of the sequence

σ

rho

auto-correlation factor

rand

function to generate one random step

Value

Auto Regressive ("AR") sequence

X=μ * ≤ft\{ x_n \right\}_{1 ≤q n ≤q N}, x_1 = σ * u_1 / √{1-ρ^2}, x_n=ρ * x_{n-1} + σ * u_n

Examples

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

[Package codadiags version 1.0 Index]