Simulation of Some Time Series Models

Here we present the results of simulating from four time series models discussed in Chapter 1. In each case, we show a time series plot and a sample ACF plot. The four examples are

(i)

A Gaussian White Noise with mean 0 and unit variance. The results of this simulation are shown in Figures 1 and 2.

(ii)

MA(1) with . The results of this simulation are shown in Figures 3 and 4.

(iii)

AR(1) withe . The results of this simulation are shown in Figures 5 and 6.

(iv)

A random walk. The results of this simulation are shown in Figures 7 and 8.

For each of the examples (ii), (iii), and (iv), we used the same Gaussian white noise process in (i) to generate the given process.