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ChadFulton/simulate_ar1.py

Created September 28, 2020 16:04
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Simulate AR(1)
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simulate_ar1.py
# Parameters
nobs = 100
mean = 2.0
phi = 0.5
sigma2 = 2.4
# Simulate
tmp = [0]
mod = sm.tsa.arima.ARIMA(tmp, order=(1, 0, 0), trend='c')
mod.simulate([mean, phi, sigma2], nobs)
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