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plot3d
2007 Nov 28
3
Simulate an AR(1) process via distributions? (without specifying a model specification)
Dear All,
Is it possible to simulate an AR(1) process via a distribution?
I have simulated an AR(1) process the usual way (that is, using a model
specification and using the random deviates in the error), and used the
generated time series to estimate 3- and 4-parameter distributions (for
instance, GLD). However, the random deviates generated from these
distributions do not follow the