ts-models-AR1: Simulation of an AR(1) time series.

In quantspec: Quantile-Based Spectral Analysis of Time Series

Simulation of an AR(1) time series.

Description

Returns a simulated time series (Y_t) that fulfills the following equation:

Y_t = a Y_{t-1} + \epsilon_t,

where a is a parameter and \epsilon_t is independent white noise with marginal distribution specified by the parameter innov.

Usage

AR1(n, a, overhead = 500, innov = rnorm)

Arguments

n	length of the time series to be returned
a	parameter of the model
overhead	an integer specifying the “warmup” period to reach an approximate stationary start for the times series
innov	a function that generates a random number each time innov(1) is called; used to specify the distribution of the innovations; rnorm by default

Value

Returns an AR(1) time series with specified parameters.

Examples

plot(AR1(100, a=-0.7), type="l")

quantspec documentation built on Sept. 11, 2024, 9:15 p.m.