ar9 {validann}

Data generated by autoregressive AR9 model.

Description

Synthetically generated dataset containing values of dependent variable x_t given values of
x_t-1, x_t-2, ..., x_t-15.

Usage

ar9

Format

A data frame with 1000 rows and 16 variables:

x_t-1,x_t-2,x_t-3,x_t-4,x_t-5,x_t-6,x_t-7,x_t-8,x_t-9,x_t-10,x_t-11,x_t-12,

x_t-13,x_t-14,x_t-15

lagged values of x_t in columns 1:15

x_t

dependent variable in column 16

Details

This dataset was generated using the AR9 model first described in Sharma (2000) and given by:

x_{t} = 0.3x_{t-1} - 0.6x_{t-4} - 0.5x_{t-9} + \epsilon_{t}

where \epsilon_{t}

References

Sharma, A. (2000), Seasonal to interannual rainfall probabilistic forecasts for improved water supply management: Part 1 - a strategy for system predictor identification, Journal of Hydrology, 239(1-4), 232-239, http://dx.doi.org/10.1016/S0022-1694(00)00346-2.