[R] simulation of autoregressive process

Prof Brian Ripley ripley at stats.ox.ac.uk
Wed Nov 19 23:14:53 CET 2008


?arima.sim

On Wed, 19 Nov 2008, hassen62 at voila.fr wrote:

> Dear R users,
> I would like to simulate, for 20000 replications, an autoregressive process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma),
> Thank you in advance
>
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595



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