How can I generate an AR(1) process with function filter.m?

3 visualizaciones (últimos 30 días)
Sergio
Sergio el 23 de Sept. de 2014
Respondida: Roger Wohlwend el 24 de Sept. de 2014
I tried with this code, but I'm not sure about the result...
e=randn(500,1) b=[1 phi]; y=filter(b,1,e);
Note: phi is the coefficient of the lagged variable.

Iniciar sesión para responder a esta pregunta.

Respuestas (1)

Roger Wohlwend
Roger Wohlwend el 24 de Sept. de 2014
You did not implement an AR(1) but an MA(1) process. It is not possible to generate an AR(1) process with the function filter. You have to do it with a for-loop - or use certain functions of the Econometrics toolbox.

Categorías

Más información sobre Signal Generation and Preprocessing en Help Center y File Exchange.

Etiquetas

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by