[R] Lognormal AR(0,1) model

[Chris89]

Hi everyone!

I am trying to make two log-normal AR(0,1) model using R with a given
correlation between them, \rho, on the form:

X_t = \alpha X_{t-1} + a_t
Y_t = \beta Y_{t-1} + b_t

At the moment I have been making n values of correlated log-normal data,
called a_t and b_t, and generated a starting value X[1] and Y[1] using the
rnorm() function. The rest of the n-1 values are calculated in a for() loop.
The data do get a lognormal "look", but it is obviously not a lognormal
distribution. 

As I am a novice to time-series, my question is simply: Are there any way to
make correlated log-normal distributed AR(0,1) models, and are there any
package in R that will help me?

sincerely
Chris

 





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