Dear All,

 

Is it possible to simulate an AR(1) process via a distribution? 

 

I have simulated an AR(1) process the usual way (that is, using a model
specification and using the random deviates in the error), and used the
generated time series to estimate 3- and 4-parameter distributions (for
instance, GLD). However, the random deviates generated from these
distributions do not follow the specified AR process.   

 

Any comment and feedback will be more than welcome.

 

Thanks for your time.

 

Pedro N. Rodriguez

 


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