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xp1
2007 Jul 16
1
question about ar1 time series
...eries(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. For this case is enough with this amount
spinup <- function(x0, rho1, af)
{
xt <- x0
for (i in 1:100) {
xtp1 <- ar1(xt, rho1, af)
xt <- xtp1
}
return(xt)
}
#Wherein "ar1_length" is the number of data in AR1 series
#rho1 is a correlation coef.
#sigmaz_c is optional
synt_series <- function(ar1_length, rho1, var_serie)
{
if( (var_serie <= 0) || rho1 <= -1 || rho1 >...