that's an AR(1) with a constant added each time so you could use arima.sim and add the constant in afterwards. but I don't know how that fast that is.
I started to check if there was a relation cumprod wise but I didn't get far. z[4] = a[4]*a[3]*a[2] + a[4]*a[3] + a[4]*b[3] + b[4] for z[5] you multiply above by a[5] and add in b[5] but I don't see it being useful. On Wed, Jan 25, 2012 at 3:05 PM, Berend Hasselman <b...@xs4all.nl> wrote: > > On 25-01-2012, at 21:00, Berend Hasselman wrote: > > > > > On 25-01-2012, at 19:09, patzoul wrote: > > > >> I have 2 series of data a,b and I would like to calculate a new series > which > >> is z[t] = z[t-1]*a[t] + b[t] , z[1] = b[1]. > >> How can I do that without using a loop? > > > > ?filter > > Oops. filter only works with a and b both constants. > > Berend > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
