Auto-Regressive Simulation (Second-Order)
Auto-Regressive Simulation (Second-Order)
This Demonstration shows realizations of a second-order auto-regressive (AR) process , using the random variable drawn from a normal density with mean zero and variance unity. It is governed by the equation:
y
r
y
i
a
1
y
i-1
a
2
y
i-2
r
i
i=3,…,N
N
The constants and are the auto-regressive constants. If +<1,-<1,and-1<<1, the series is stationary. A series of length 400 is created in every case.
a
1
a
2
a
1
a
2
a
2
a
1
a
2