Generate an Autoregressive Order 1 ( AR(1) ) sequence
Generate an Autoregressive Order 1 sequence given φ and σ^2.
gen_ar1(N, phi = 0.3, sigma2 = 1)
N |
An |
phi |
A |
sigma2 |
A |
The function implements a way to generate the AR(1)'s x[t] values without calling the general ARMA function.
Thus, the function is able to generate values much faster than gen_arma.
A vec containing the AR(1) process.
The Autoregressive order 1 (AR1) process with non-zero parameter phi in (-1,1) and sigma^2 in R^{+}. This process is defined as:
X[t] = phi[1]X[t-1] + W[t]
, where
W[t] ~ N(0,sigma^2) iid
AR(1) processes are sometimes used as an approximation for Bias Instability noises.
The function first generates a vector of White Noise with length N+1 using gen_wn and then obtains the
autoregressive values under the above process definition.
The X[0] (first value of X[t]) is discarded.
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