Simulated series

ANDERSON5.DAT

Simulated series Z(T) = 0.9.Z(T-1) + A(T)~IN(0,1). Source: O.D. Anderson (1976).

ANDERSON6.DAT

Simulation of Z(T) = (1 - 0.6B)A(T); A(T)~N(0,1). Source: O.D. Anderson (1976) and  O'Donovan (1983) .

ANDERSON8.DAT

Simulated series. Source: O.D. Anderson (1976) and O'Donovan (1983).

ARCH.DAT

1000 simulated values of an ARCH process. Source: Brockwell and Davis (1996), example 10.3.1.

BOXJENK11.DAT

Simulated dynamic data inputs X1, X2 output. Source: Box & Jenkins (1976).

BOXJENK12.DAT

Box & Jenkins S.535 series L: pilot scheme data (N=312). Source: Box & Jenkins (1976).

EXPAR.DAT

50 simulated values from an EXPAR process.

E911.DAT

200 simulated values of an ARIMA(1,1,0) process. (Brockwell and Davis (1991) example 9.1.1)

E921.DAT

200 simulated values of an AR(2) process. (Brockwell and Davis (1991) example 9.2.1)

E923.DAT

200 simulated values of an ARMA(2,1) process. (Brockwell and Davis (1991) example 9.2.3)

E951.DAT

200 simulated values of an ARIMA(1,2,1) process. (Brockwell and Davis (1991) example 9.5.1)

E1021.DAT

Sinusoid plus simulated Gaussian white noise. (Brockwell and Davis (1991) example 10.2.1)

E1042.DAT

160 simulated values of an MA(1) process. (Brockwell and Davis (1991) example 10.4.2)

E1062.DAT

400 simulated values of an MA(1) process. (Brockwell and Davis (1991) example 10.6.2)

E1241.DAT

200 simulated values of a fractionally integrated MA(1) series. (Brockwell and Davis (1991) example 13.2.1)

E1251.DAT

200 simulated values of a MA(1) series with standard Cauchy white noise. (Brockwell and Davis (1991) example 13.3.1)

E1252.DAT

200 simulated values of a AR(1) series with standard Cauchy white noise. (Brockwell and Davis (1991) example 13.3.2)

FREEDMAN.DAT

Freedman's nonlinear time series. z_t=f(z_(t-1)), where f(x)=2x if x<=0.5 and f(x)=2-2x if x>0.5. Source: Hipel and Mcleod (1994).

JENKINS1.DAT

X(t) = X(t-1_ -0.5*X(t-2) + A(t). Source: Jenkins & Watts (1980).

JENKINS2.DAT

Bivariate process: X1(t) = 0.6*X1(t-1) -0.5*X2(t-1) +A(t). Source: Jenkins & Watts (1980).

JENKINS3.DAT

Bivariate process: X2(t) = 0.4*X1(t-1) +0.5*X2(t-1) +A(t). Source: Jenkins & Watts (1980).

JENKINS4.DAT

Bivariate process: Z1(t) = 0.6*Z1(t-1) +A(t). Source: Jenkins & Watts (1980).

JENKINS5.DAT

Biv. proc.: Z2(t) = 0.5*Z2(t-1) +2.0*Z1(t-10) +(1/(1-0.5B))*A(t). Source: Jenkins & Watts (1980).

JENKINS6.DAT

Simulated system: input W1(t)=W1(t-1)-0.5*W1(t-2)+A(t). Source: Jenkins & Watts (1980).

JENKINS7.DAT

Output W2(t)=X(t)+Z(t), X(t)=0.25*X(t-1)-0.5*X(t-2)+W1(t). Source: Jenkins & Watts (1980).

LIU-HANS1.DAT

Liu-Hanssens simulated data. Source: Liu-Hanssens (1984).

LOGISTIC.DAT

Logistic map, mu=3.9. z_t=mu z_t-1 (1-z_t-1). Source: Hipel and Mcleod (1994).

ODONOVAN8.DAT

Simulation of Z(T)=A(T)-0.6*A(T-1); A(T)~N(o,1) O.D.Anderson. Source: O'Donovan (1983).

ODONOVAN23.DAT

Simulated Z(T)=0.9.Z(T-1)+A(T) A(T)~N(0,1) O.D.Anderson. Source: O'Donovan (1983).

SIMAR4.DAT

Simulated AR(4) model with beta=(2.7607, -3.86106, 2.6535, -0.9238), n=800.. Source: Hipel and Mcleod (1994).

SIM-BI-AR1.DAT

Series with 150 observations generated from the bivariate first order autoregressive AR(1) or ARMA(1,0) model. Source: Pena, Tiao, and Tsay (2001).

SIM-BI-MA1.DAT

Series with 250 observations generated from the bivariate k=2 first order moving average MA(1) or ARMA(0,1) model. Source: Pena, Tiao, and Tsay (2001).

TRANSIN.DAT

Simulated input series for transfer function model. (Brockwell and Davis (1991), p.558)

TRANSOUT.DAT

Simulated output series for transfer function model. (Brockwell and Davis (1991), p.558)

TRANSINOUT.DAT

Combination of TRANSIN.DAT and TRANSOUT.DAT.

TWANDERS3.DAT

Wold's A(2) series nr.1: Y(T)-0.25Y(T-1)+0.0625Y(T-2)=U(T). Source: T W Anderson (1971).

TWANDERS4.DAT

Wold's A(2) series nr.2: Y(T)-0.7Y(T-1)+0.49Y(T-2)=U(T). Source: T W Anderson (1971).

TWANDERS5.DAT

Wold's A(2) series nr.1: Y(T)-0.9Y(T-1)+0.81Y(T-2)=U(T). Source: T W Anderson (1971).