sm_ar1_sim (pyleoclim.utils.correlation.sm_ar1_sim)

pyleoclim.utils.correlation.sm_ar1_sim(n, p, g, sig)[source]

Produce p realizations of an AR1 process of length n with lag-1 autocorrelation g using statsmodels

Parameters

  • n (int) – row dimensions

  • p (int) – column dimensions

  • g (float) – lag-1 autocorrelation coefficient

  • sig (float) – the standard deviation of the original time series

Returns

red – n rows by p columns matrix of an AR1 process

Return type

numpy matrix