Description Usage Arguments Details Value Process Definition Generation Algorithm

Generate an Autoregressive Order 1 sequence given *φ* and *σ^2*.

1 | ```
gen_ar1(N, phi = 0.3, sigma2 = 1)
``` |

`N` |
An |

`phi` |
A |

`sigma2` |
A |

The function implements a way to generate the AR(1)'s *x[t]* values *without* calling the general ARMA function.
Thus, the function is able to generate values much faster than `gen_arma`

.

A `vec`

containing the AR(1) process.

The Autoregressive order 1 (AR1) process with non-zero parameter *phi in (-1,1)* and *sigma^2 in R^{+}*.
This process is defined as:

*X[t] = phi[1]X[t-1] + W[t]*

, where

*W[t] ~ N(0,sigma^2) iid*

AR(1) processes are sometimes used as an approximation for Bias Instability noises.

The function first generates a vector of White Noise with length *N+1* using `gen_wn`

and then obtains the
autoregressive values under the above process definition.

The *X[0]* (first value of *X[t]*) is discarded.

SMAC-Group/simts documentation built on Nov. 16, 2018, 8:05 a.m.

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