Simulate Correlated AR(1)

This function simulates multiple correlated AR(1) processes.

simulate_corr_ar1(N, phi_ar1, sigma_ar1)

Arguments

N

An integer indicating the length of the time series.

phi_ar1

A vector indicating the phi terms of the AR(1) processes.

sigma_ar1

A matrix denoting the covariance of the AR(1) innovations.

Value

A matrix of the simulated correlated AR(1) processes.

Author

Davide Antonio Cucci