SimulateAR1 {ptest} | R Documentation |
An AR(1) series with mean zero and variance 1 and with autocorrelation paramater phi is simulated.
SimulateAR1(n, phi)
n |
length of series |
phi |
autocorrelation parameter |
The model equation is: z[t] = phi*z[t-1]+a[t], where z[1] is N(0,1) and a[t] are NID(0, siga), siga=sqrt(1/(1-phi^2)).
series of length n
A.I. McLeod
~~objects to See Also as help
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e<-SimulateAR1(10^4, phi=0.8) mean(e) sd(e) acf(e, lag.max=5, plot=FALSE)