Time series generation
- To: mathgroup at smc.vnet.net
- Subject: [mg30799] Time series generation
- From: "DIAMOND Mark R." <dot at dot.dot>
- Date: Wed, 19 Sep 2001 00:16:39 -0400 (EDT)
- Organization: The University of Western Australia
- Sender: owner-wri-mathgroup at wolfram.com
I posted a question similar to this on stat.math, but since I will undoubtedly implement the answer in Mathematica, it makes sense to ask here as well ... I am interested in generating an autoregressive data set with (stationary), but stipulated, autocorrelations at certain lag distances. Is there a simple way to do this, similar to using a Cholesky decomposition of a correlation matrix for producing a (non-time-series) correlated data set? Cheers, -- Mark R. Diamond Send email to psy dot uwa dot edu dot au and address to markd