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Syntax |
`arcov(` N`, ` M`, ` r`)` |

See Also | filter , snormal , fspec |

Returns

*L* = 1

to the row dimension of *x*(*i*,*j*) * *x*(*i* + *L* - 1,*j*)

is equal to *r*(*L*)

.
The return value has

If *x*

is a Gaussian AR process of order *m*

,
there is a vector, *a*

, such that

*x* = *a* *w* + *a* *x* + ... + *a* *x*

*n* 0 *n* 1 *n*-1 *m* *n*-*m*

where the `{`*w*(*n*)}

are independent, normal,
and have a mean of 0 and a variance of 1.
```
```

N = 200

M = 1

r = {1., .9}

y = arcov(N, M, r)

gtitle("AR(1) Simulation")

gplot(seq(N), y, "plus")

returns the following plot: