[R] simulation of autoregressive process

[Rolf Turner]

On 20/11/2008, at 10:54 AM, hassen62 at voila.fr wrote:

> Dear R users,
> I would like to simulate, for 20000 replications, an autoregressive  
> process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma),
> Thank you in advance

?arima.sim

Note to R-core:  This is actually rather hard for a neophyte to  
locate, I think.
RSiteSearch("autoregression") didn't lead to anything useful as far  
as I could see.
The task view for Time Series didn't mention simulation.

??autoregression leads to ar(),  the ``See Also'' of which points to  
arima0() (???).
Then arima0() has a ``See Also'' which points at arima, and finally  
arima() has a
``See Also'' which points to arima.sim().

The neophyte would need to be fairly clever and sophisticate, as well  
as not
easily discouraged, to fight his or her way through all of this.

	cheers,

		Rolf Turner

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