PsiAR1()

PsiAR1(mean,volatility,coef1,val0)

where |a1| < 1 must be true for stationarity.

The PsiAR1() time series function produces a first order autoregressive time series with mean mean, volatility volatility, autoregressive coefficient coef1 and time value val0.

This is a well known and used time series due to its simplicity and it's ability to provide a good fit to data. An AR(1) time series is depicted by an autocorrelation function (ACF) that decreases geometrically and a partial autocorrelation function (PACF) that reduces to 0 after lag 1.

For more information, see the Analytic Solver Reference Guide downloadable from Analytic Solver by clicking Help -- User Guides -- Analytic Solver Reference Guide.