AR simulation
Purpose
Description
Macro Synopsis
Modules
Related Functions
References
Purpose
Simulate an AR process
Description
"AR simulation" simulates an autoregressive process given by
using a noise signal x as input. The output signal is
the simulated process y. c denotes a constant term.
Its parameters are
- order (number of coefficients) P of the process
- coefficients a1, a2, ..., an
- constant term c.
Macro Synopsis
y = ARsim(x, P, "a1,a2,...,aP", "c");
signal x,y;
int P;
string a,c;
Modules
Statistics
Related Functions
ARIMA modeling,
ARIMAX modeling, ARMA model order,
ARMA modeling, ARMA simulation,
ARMA spectral density, ARMAX modeling,
ARMAX simulation, NAR modeling,
NARMA modeling.
References
Ljung [10], Conover [11], Graybill
[12], Hollander/Wolfe [13]