SimulateAR1 {pRSR}

Simulate AR(1) series

Description

An AR(1) series with mean zero and variance 1 and with autocorrelation paramater phi is simulated.

Usage

SimulateAR1(n, phi)

Arguments

n

length of series

phi

autocorrelation parameter

Details

The model equation is: z[t] = phi*z[t-1]+a[t], where z[1] is N(0,1) and a[t] are NID(0, siga), siga=\sqrt(1/(1-phi^2)).

Value

autocorrelated time series of length n

See Also

FitHReg, SimulateHReg

Examples

e<-SimulateAR1(10^4, phi=0.8)
mean(e)
sd(e)
acf(e, lag.max=5, plot=FALSE)