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 A vector,

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);