Name

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MONTE_CARLO_AR1

Purpose

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This function returns a Monte Carlo generated time series which
preserves the distributional and AR(1) properties of the original
series.

Category

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Time Series Analysis

Calling Sequence

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Result = MONTE_CARLO_AR1( X )

Inputs

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X: An array of any numerical type.

Keyword Parameters

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REPLACE: If set, the function shuffles with replacement. The default
is without replacement.
SEED: A seed for the random number generator to use.

Outputs

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Result: Returns a Monte Carlo generated vector inspired by X.

Uses

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SHUFFLE.pro

Procedure

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This function generates an AR(1) vector with the random component
generated by shuffling the elements of the input vector.

Example

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Define an AR(1) vector with coefficient 0.9, length 1000, and unit
standard deviation noise.
        x = fltarr( 1000 )
        for i = 1, 999 do x[i] = 0.9 * x[i-1] + randomn( seed, 1 )
Generate an time series that maintains the distribution and AR(1)
properties of x.
result = monte_carlo_ar1( x, replace=1 )

Modification History

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  Written by: Daithi A. Stone (stoned@atm.ox.ac.uk), 2003-11-19.
Modified: DAS, 2005-10-23 (added SEED keyword)