[R] Query: simple autocorrelation ina time series

[Doran, Harold]

You need mvrnorm() to do this. 

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Crabb, David
Sent: Monday, January 10, 2005 1:04 PM
To: r-help at stat.math.ethz.ch
Subject: [R] Query: simple autocorrelation ina time series

I hope you can help with what might be an easy query.

I am doing some simple simulations where I am generating series of data
from a normal distribution using rnorm. I am then treating these as a
time series. I want to know how I can incorporate correlation in the
series (autocorrelation) i.e. make the observations non-independent,
with a known (but simple) correlation structure. In other words I want
to simulate correlated data.

Many thanks for your help.




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