The program shows examples of 30-step trajectories of AR(1) process with i.i.d. uniform noises:
X−1 = 0, Xk = ρ Xk−1 + Wk, Wk ~ U(−1, 1).
Value of the parameter ρ:
ρ = 0.5.
The empirical CDF of the final points (black) and the asymptotical CDF computed via Fourier series (green):
Histogram of the distribution of the final points:
This program is a part of a joint work by Alin Andrei Carsteanu,
Angelica Garcia Leon and Egor Maximenko.
We are grateful to Oleg Kravchenko for the information about the atomic function.