[S] Generation of Loop-Avoiding Recursive Time Series

Thomas J. Downing (tdowning@valueline.com)
Wed, 25 Nov 1998 13:03:25 -0500


Hello!

Here is my problem:

k,a, and b are scalar parameters.
ee is a time series of length n; values are known.
x is a time seies of length n; x[1] == 0.005
Subsequent values of x are to be calculated by the relation:

x(t) = k + a*ee(t) + b*x(t-1)

I have tried such commands as:

x[-1] <- k + a*ee + b*x[-n]

I have also tried recursive filter variations, but I can't seem to
get it right.
Is there a way I can accomplish this task without having to resort to a
loop? Thank
you for any assistance. I will gladly post a summary of responses.

I use S-Plus 4.0 for Windows.

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