Simplest way to generate AR(2) process on MATLAB

1. What is an AR 2 process?
2. How do you simulate AR process in R?

What is an AR 2 process?

An AR(1) autoregressive process is one in which the current value is based on the immediately preceding value, while an AR(2) process is one in which the current value is based on the previous two values. An AR(0) process is used for white noise and has no dependence between the terms.

How do you simulate AR process in R?

We can use the arima. sim() function to simulate the AutoRegressive (AR) model. Note that model argument is meant to be a list giving the ARMA order, not an actual arima model. So, for the AutoRegressive model, we will specify model as list(ar = phi) , in which phi is a slope parameter from the interval (-1, 1).