Synthetically generated dataset containing values of dependent variable
x_t given values of
x_t-1, x_t-2, ..., x_t-15.
A data frame with 1000 rows and 16 variables:
lagged values of x_t in columns 1:15
dependent variable in column 16
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
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.
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