Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: gentar genbil genarma genarch

Quantlet: genexpar
Description: generates an exponential AR process

Usage: x=genexpar(thrlag,gamma,phi0,phi1,noise)
Input:
thrlag integer: threshold lag
gamma scalar (gamma>0): coefficient in the exponential function
phi0 vector (length p=AR order): AR coefficients for |X(t-thrlag)|=infinity
phi1 vector (length p=AR order): AR coefficients for |X(t-thrlag)|=0
noise vector (length n=sample size needed): noise vector
Output:
x generated EXPAR process

Example:

library("times")

randomize(0)

x=genexpar(1,0.1,0.3|0.6, 2.2|-0.8,normal(500))

x[1:5]

Result:

Contents of _tmp 

[1,]  -3.6098 

[2,]  -4.6684 

[3,]  -2.0478 

[4,]  -2.9816 

[5,]  -4.7075 


Library: times
See also: gentar genbil genarma genarch

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Rong Chen, Christian Hafner, 970723
(C) MD*TECH Method and Data Technologies, 21.9.2000