Displaying 1 result from an estimated 1 matches for "var_serie".
2007 Jul 16
1
question about ar1 time series
...white-noise"
#has a mean = 0, and the var = sigmaz_c = stand_dev^2 is whatever value,
#if sigmaz_c = 1 then this "white-noise" is a "Gaussian-noise."
#rho1 (or alpha in another text-books ;-)) < 1 (in fact 0 < rho1 < 1) so that
#the system can be stationary.
#Where var_serie is the variance of the serie
cat("\n Hello, this is creat_AR1_synt_ser.R. \n These are the input
parameters: synt_series(ar1_length, rho1, ...), where rho1 is the
correlat. coef.\n")
ar1 <- function(x, rho1, af)
{
return(x*rho1 + runif(1, -af, af))
}
#Spin-up for the AR1 series....