Visualizing Autoregressive Time Series
Freakonometrics, 2014
unknown
Zugriff:
In the MAT8181 graduate course on Time Series, we started discussing autoregressive models. Just to illustrate, here is some code to plot - causal - process, graphar1=function(phi){ + nf - layout(matrix(c(1,1,1,1,2,3,4,5), 2, 4, byrow=TRUE), respect=TRUE) + e=rnorm(n) + X=rep(0,n) + for(t in 2:n) X[t]=phi*X[t-1]+e[t] + plot(X[1:6000],type="l",ylab="") + abline(h=mean(X),lwd=2,col="red") + abline(h=mean(X)+2*sd(X),lty=2,col="red") + abline(h=mean(X)-2*sd(X),lty=2,col="red") + u=seq(-1,1,by=.
Titel: |
Visualizing Autoregressive Time Series
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Autor/in / Beteiligte Person: | Charpentier, Arthur |
Link: | |
Veröffentlichung: | Freakonometrics, 2014 |
Medientyp: | unknown |
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