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 |
library("times") randomize(0) x=genexpar(1,0.1,0.3|0.6, 2.2|-0.8,normal(500)) x[1:5]
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 |