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validann (version 1.2.1)

ar9: Data generated by autoregressive AR9 model.

Description

Synthetically generated dataset containing values of dependent variable x_t given values of x_t-1, x_t-2, ..., x_t-15.

Usage

ar9

Arguments

Format

A data frame with 1000 rows and 16 variables:
x_t-1,x_t-2,x_t-3,x_t-4,x_t-5,x_t-6,x_t-7,x_t-8,x_t-9,x_t-10,x_t-11,x_t-12,
x_t-13,x_t-14,x_t-15
lagged values of x_t in columns 1:15
x_t
dependent variable in column 16

Details

This dataset was generated using the AR9 model first described in Sharma (2000) and given by: \(x_{t} = 0.3x_{t-1} - 0.6x_{t-4} - 0.5x_{t-9} + \epsilon_{t}\) where \(\epsilon_{t}\)

References

Sharma, A. (2000), Seasonal to interannual rainfall probabilistic forecasts for improved water supply management: Part 1 - a strategy for system predictor identification, Journal of Hydrology, 239(1-4), 232-239, http://dx.doi.org/10.1016/S0022-1694(00)00346-2.