[R] Generating AR1 data

Prof Brian D Ripley ripley at stats.ox.ac.uk
Thu Oct 10 12:26:58 CEST 2002

On Thu, 10 Oct 2002, Andy Bunn wrote:

> Hi, Is there an easy way to generate data with temporal autocorrelation? I
> want to generate data with something like rnorm where I can specify the
> mean, variance and time lag. Does such a thing exist?

arima.sim in package ts.

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 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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