View source: R/kalman_functions.R
genmissing | R Documentation |
Generates a lag one auto-regressive time series, where the first and last values are fixed. Marginal expected value is zero and variance is one. Generated values have a normal conditional distribution.
genmissing(X1, XN, rho, N)
X1 |
value before the gap |
XN |
value after the gap |
rho |
the lag one autocorrelation |
N |
the length of the sequence including X1 and XN. It is two more than the gap length |
genmissing numeric vector of length N, conditioned on the first value (X1) and last value (XN) with the specified lag one autocorrelation in the limit (where N is large) the values are normal with mean 0 and variance 1
Tim Cohn
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