Grocer Function
NAME
autocum - AR(1) cumulation
CALLING SEQUENCE
[serieout]=autocum(seriein,rho)
PARAMETERS
Input
-
seriein = a (n x 1) or (1 x n) constant vector or a timeseries
-
rho = a constant
Output
-
serieout = the vector (n x 1) or ts y such as:
y(t) = rho*y(t-1) + x(t)
-
y(t0) = x(t0) for the first observation t0
DESCRIPTION
Provides the vector (n x 1) or ts y such as:
* y(t) = rho*y(t-1) + x(t)
* y(t0) = x(t0) for the first observation t0
EXAMPLE
y=autocum(x,0.9)
AUTHOR
Eric Dubois 2002