R/simAR1.R

In AUMath-AdvancedR2018/AR1: Tools for working with AR(1) processes.

#' AR(1) simulation
#' 
#'
#'@param y0 initial value
#'@param n numer of steps
#'@param phi parameter of the model
#'@param distfun a distribution function
#'@param ... parameters to the function disfun
#'
#'@return Returns a vector of length n, that is a simulation for an AR(1) process with the given parameters.
#'
#'@details The AR(1) process is a Markov chain, in which the parts (in lack of a better word) is defined recursively;\deqn{
#'Y_n+1=phi*Y_n+e_n+1}
#'the e_n's are i.i.d.
#'@examples
#'y<-simAR1(0, 1000, 0.8, rnorm, 1000)
#'x<-simAR1(10, 300, 0, rt, 300, 1.5)
#'@export

simAR1<-function(y0,n,phi,distfun = rnorm, ...){
d <- distfun(...)
y<-c(rep(0,n))
y[1]<-y0
for(i in 2:n){
  y0=phi*y[i-1]+d[i]
  y[i]<-y0
  }
return(y)
}