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Thread: How to generate an autocorrelated random variable?

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    Re: How to generate an autocorrelated random variable?





    Quote Originally Posted by Dason View Post
    An AR(1) process offers a direct map to the lag-1 correlation as I've said many times before.
    Here is the solution how to generate an autocorrelated random variable.
    Last edited by consuli; 03-31-2015 at 05:43 PM.
    Prediction is very difficult, especially about the future. (Niels Bohr)

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