| 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 |