n = 100     ## The sample size.
t2 = 1      ## The error variance.
alpha = 0.5 ## The AR(1) coefficient.

## The data variance.
s2 = t2 / (1 - alpha^2) 

## Simulate the first value.
X = rnorm(1, sd=sqrt(s2))

## Simulate the rest of the sequence.
for (i in 2:n)
{
    X[i] = alpha*X[i-1] + rnorm(1, sd=sqrt(t2))
}