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

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Sergio
Sergio 2014 年 9 月 23 日
回答済み: Roger Wohlwend 2014 年 9 月 24 日
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.

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Roger Wohlwend
Roger Wohlwend 2014 年 9 月 24 日
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.

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