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syncdata
2007 Jul 16
1
question about ar1 time series
...ries <- function(ar1_length, rho1, var_serie)
{
if( (var_serie <= 0) || rho1 <= -1 || rho1 >= 1 )
stop("The variance of the serie should be > 0, or the rho1
parameter should be between (-1, 1) for that the serie can be
stationary, be careful with this, bye. \n")
syntdata <- rep(0, ar1_length)
#af = adjustement factor, i.e. for that the var of random numbers =
var of white noise (check the manual of runif)
af <- sqrt( 3 * var_serie * (1 - rho1) * (1 + rho1) )
x0 <- runif(1, -af, af)
syntdata[1] <- spinup(x0, rho1, af)
fo...