create_arp_data: Create data using an AR(1)

In nielsaka/zeitreihe: Simulate, Estimate, Select, and Forecast Multiple Time Series Processes

Description

Given some starting values, coefficients and a sequence of error vectors, create_arp_data will compute a sequence of observables through a univariate autoregressive model.

Usage

create_arp_data(a, y0, e = rnorm(N), N = 100, intercept = FALSE)

Arguments

a	A numeric vector, specifying the lag coefficients. Its length will determine the maximum lag order p.
y0	A numeric vector, providing pre-sample observations. Its length must be at minimum p (see above).
e	A numeric vector, containing the innovations that hit the system. If unspecified, it will be drawn from a standard normal distribution.
N	An integer scalar. The sample size. Defaults to N = 100.
intercept	A logical scalar. If the first entry of a is the value of the intercept, set to TRUE. Otherwise leave at FALSE.

Value

An numeric vector of length N.

nielsaka/zeitreihe documentation built on March 17, 2020, 8:38 p.m.