Data generated by autoregressive AR9 model.

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Description

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

Usage

1
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 + ε_t

where ε_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.