turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- JMP User Community
- :
- Discussions
- :
- Discussions
- :
- Generate Autocorrelated Random Variable

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

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

2 REPLIES

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Nov 4, 2009 12:31 PM
(947 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.

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Nov 7, 2009 2:07 AM
(947 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).