[R] Simulate an AR(1) process via distributions? (without specifying a model specification)

[Prof Brian Ripley]

On Wed, 28 Nov 2007, Pedro.Rodriguez at sungard.com wrote:

> Is it possible to simulate an AR(1) process via a distribution?

Any distribution *of errors*, yes.  Of the process values, not in general.

> I have simulated an AR(1) process the usual way (that is, using a model
> specification and using the random deviates in the error), and used the
> generated time series to estimate 3- and 4-parameter distributions (for
> instance, GLD). However, the random deviates generated from these
> distributions do not follow the specified AR process.

How do you know that?  Please give us the reproducible example we asked 
for (in the posting guide, at the bottom of every message), and we should 
be able to explain it to you.

-- 
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