Hello everybody, I recently wrote a "program" that to generate AR1 time series, here the code:
#By Jomopo. Junio-2007, Leioa, Vizcaya #This program to create the AR1 syntetic series (one by one) #Where the mean is zero, but the variance of the serie AR1 and #the coef. of AR1 are be changed. If var serie AR1 = 1 then is standarized! #Final version for AR1 time series program #Mon Jul 16 11:58:03 CEST 2007 Checked again in R-prompt, and it's OK! #Creating the sintetic AR1 series... where the "white-noise" #has a mean = 0, and the var = sigmaz_c = stand_dev^2 is whatever value, #if sigmaz_c = 1 then this "white-noise" is a "Gaussian-noise." #rho1 (or alpha in another text-books ;-)) < 1 (in fact 0 < rho1 < 1) so that #the system can be stationary. #Where var_serie is the variance of the serie cat("\n Hello, this is creat_AR1_synt_ser.R. \n These are the input parameters: synt_series(ar1_length, rho1, ...), where rho1 is the correlat. coef.\n") ar1 <- function(x, rho1, af) { return(x*rho1 + runif(1, -af, af)) } #Spin-up for the AR1 series. For this case is enough with this amount spinup <- function(x0, rho1, af) { xt <- x0 for (i in 1:100) { xtp1 <- ar1(xt, rho1, af) xt <- xtp1 } return(xt) } #Wherein "ar1_length" is the number of data in AR1 series #rho1 is a correlation coef. #sigmaz_c is optional synt_series <- function(ar1_length, rho1, var_serie) { if( (var_serie <= 0) || rho1 <= -1 || rho1 >= 1 ) stop("The variance of the serie should be > 0, or the rho1 parameter should be between (-1, 1) for that the serie can be stationary, be careful with this, bye. \n") syntdata <- rep(0, ar1_length) #af = adjustement factor, i.e. for that the var of random numbers = var of white noise (check the manual of runif) af <- sqrt( 3 * var_serie * (1 - rho1) * (1 + rho1) ) x0 <- runif(1, -af, af) syntdata[1] <- spinup(x0, rho1, af) for (i in 2:ar1_length) { syntdata[i] <- ar1(syntdata[i - 1], rho1, af) } return(syntdata) } I would like some suggestions and hints. Thanks a lot for your help! -- Josué Mosés Polanco Martínez Correo-e alternativo [EMAIL PROTECTED] ---- It is a wasted day unless you have learned something new and made someone smile -Mark Weingartz. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.