ts-models-AR2: Simulation of an AR(2) time series.
Description
Returns a simulated time series $(Y_t)$ that fulfills
the following equation: $$Y_t = a_1 Y_{t-1} + a_2
Y_{t-2} + \epsilon_t,$$ where $a_1$ and $a_2$ are
parameters and $\epsilon_t$ is independent white noise
with marginal distribution specified by the parameter
innov.
Usage
AR2(n, a1, a2, overhead = 500, innov = rnorm)
Arguments
n
length of the time series to be returned
a1
parameter
a2
parameter
overhead
an integer specifying the ``warmup''
period to reach an approximate stationary start for the
times series
innov
a function with one parameter n that
yields n independent pseudo random numbers each
time it is called.
Value
Return an AR(2) time series with specified parameters.