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Grocer >> Basic functions > autocum

autocum

AR(1) cumulation

CALLING SEQUENCE

[serieout]=autocum(seriein,rho)

PARAMETERS

Input

* seriein = a (n x 1) or (1 x n) constant vector or a timeseries

* rho = a constant

 

Output

* serieout = the vector (n x 1) or ts y such as:

* y(t) = rho*y(t-1) + x(t)

* y(t0) = x(t0) for the first observation t0

DESCRIPTION

Provides the vector (n x 1) or ts y such as: * y(t) = rho*y(t-1) + x(t) * y(t0) = x(t0) for the first observation t0

EXAMPLE

x=[1.2 ; 0.9 ; 1.3; 0.5;1.25; 1.32];

y=autocum(x,0.9)

AUTHOR

Eric Dubois 2002

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