AR1: Generate auto-regressive order 1 sequence

In codadiags: Markov chain Monte Carlo burn-in based on "bridge" statistics

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))

codadiags documentation built on May 1, 2019, 9:26 p.m.