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- Generate Autocorrelated Random Variable

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Nov 4, 2009 12:03 PM
(617 views)

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Nov 4, 2009 12:31 PM
(579 views)

But you could do it in JSL. The technique for generated random numbers for 2 correlated variables involves the use of matrices and Cholesky decomposition, both of which are supported in JSL. I think the trick would be to take the first variable as your time series, then the second variable as your time series offset by the lag that you want exhibited in the autocorrelated data.

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Nov 7, 2009 2:07 AM
(579 views)

Column 1 = Random Uniform(I)

Column 2 = Column 1 + Lag( Column 1, 1)

You can then fiddle (technical term!) with the formula for column 2 so that it exhibits the properties that you are looking for (e.g. change the weightings of the first or second term).