[S] AR(1) data generator

Chul Ahn (chulahn@heart.med.uth.tmc.edu)
Mon, 12 Oct 1998 14:12:47 -0500


Dear S-Plus Users:

I want to generate the repeated measurement data with AR(1)
correlational structure. Suppose that for all the subjects, we generate
9 measurements.

1st subj: x(1,1), x(1,2), x(1,3), ..., x(1,9)
2nd subj: x(2,1), x(2,2), x(2,3), ..., x(2,9)
...
ith subj: x(i,1), x(i,2), x(i,3), ..., x(i,9)

How can I generate the above AR(1) data set with the correlation=0.5
between the baseline measurement (x(i,1)) and the last observation
(x(i,9))? Is there any S-plus code to generate the repeated measurement
data with AR(1) correlational structure and the correlation=r (e.g.,
r=0.5) between baseline and the last observation? I would like to know
how to generate the repeated measurement data with uniform population
variance across repeated measurement data. If S-Plus code is not
available, would you please suggest any book or a paper to read for the
generation of the AR(1) data?

Thanks,
Chul

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