Grocer Function

NAME

autocum - AR(1) cumulation

CALLING SEQUENCE

[serieout]=autocum(seriein,rho)

PARAMETERS

Input

Output

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