Simulate AR(1)

Description

Exact simulation for AR(1) with normal and non-normal innovations

Usage

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simar1(phi = 0.5, n = 100, InnovationVariance = 1, noiseDist = c("normal", "t", 
 "stable", "GARCH11"), df = 5, ALPHA = 1.5, BETA = 0, GAMMA = 1, DELTA = 0, 
 alpha = 0.2, beta = 0.7)

Arguments

phi

AR(1) parameter

n

length of series

InnovationVariance

innovation variance, if applicable

noiseDist

distribution of innovations: "normal" for Gaussian; "t" for t-distribution; "stable" for stable distribution; "GARCH11" for GARCH

df

df for t-distribution

ALPHA

shape parameter of stable distribution in (0,2]

BETA

skewness parameter of stable in [-1,1]

GAMMA

scale parameter of stable

DELTA

shift parameter of stable

alpha

GARCH(1,1) first parameter

beta

GARCH(1,1) second parameter

Details

More details later.

Value

a vector of length n containing the simulated series

Author(s)

A.I. McLeod

Examples

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