Generate an Moving Average Order 1 (MA(1)) Process
Generate an MA(1) Process given θ and σ^2.
gen_ma1(N, theta = 0.3, sigma2 = 1)
N |
An |
theta |
A |
sigma2 |
A |
The function implements a way to generate the x[t] values without calling the general ARMA function.
A vec containing the MA(1) process.
The Moving Average order 1 (MA(1)) process with non-zero parameter theta in (-1,+1) and sigma^2 in R^{+}. This process is defined as:
x[t] = W[t] + theta*W[t-1]
, where
W[t] ~ N(0,sigma^2) iid
The function first generates a vector of white noise using gen_wn and then obtains the
MA values under the above equation.
The X[0] (first value of X[t]) is discarded.
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.