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Thread Subject:
Generating time series data

Subject: Generating time series data

From: Jose Moreno

Date: 28 Dec, 2005 13:19:20

Message: 1 of 2

I am interested in generating data from an ARIMA (1,0,0) process with
varying levels of autocorrelation, variance and effect size. Can
anyone help me to get started?

Subject: Generating time series data

From: Dick Startz

Date: 28 Dec, 2005 14:36:33

Message: 2 of 2

On Wed, 28 Dec 2005 13:19:20 -0500, "Jose Moreno"
<more3580@bellsouth.net> wrote:

>I am interested in generating data from an ARIMA (1,0,0) process with
>varying levels of autocorrelation, variance and effect size. Can
>anyone help me to get started?

Start with white noise data, for example x = randn(100,1)

then see

help filter

for turning it into an ARIMA process. Note that an ARIMA(1,0,0) is
just an AR(1), so basically you want something like

y(t) = .9*y(t-1) + x(t)

-Dick Startz
----------------------
Richard Startz RichardStartz@comcast.net
Lundberg Startz Associates

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