IRIS Toolbox Reference Manual

arf

Run autoregressive function on a tseries object

Syntax

X = arf(X,A,Z,Range,...)

Input arguments

Output arguments

Description

The autoregressive process has one of the following forms:

A1*x + A2*x(-1) + ... + An*x(-n) = z,

or

A1*x + A2*x(+1) + ... + An*x(+n) = z,

depending on whether the range is increasing (running forward in time), or decreasing (running backward in time). The coefficients A1,...An are gathered in the input vector A,

A = [A1,A2,...,An].

Example

The following two lines create an autoregressive process constructed from normally distributed residuals,

$$ x_t = \rho x_{t-1} + \epsilon_t $$

rho = 0.8;
X = tseries(1:20,@randn);
X = arf(X,[1,-rho],X,2:20);