ts-models-AR1: Simulation of an AR(1) time series.
Description
Returns a simulated time series $(Y_t)$ that fulfills
the following equation: $$Y_t = a Y_{t-1} +
\epsilon_t,$$ where $a$ is a parameter and
$\epsilon_t$ is independent white noise with marginal
distribution specified by the parameter innov.
Usage
AR1(n, a, overhead = 500, innov = rnorm)
Arguments
n
length of the time series to be returned
a
parameter of the model
overhead
an integer specifying the ``warmup''
period to reach an approximate stationary start for the
times series
innov
a function that generates a random number
each time innov(1) is called; used to specify the
distribution of the innovations; rnorm by default
Value
Returns an AR(1) time series with specified parameters.