From: Rolf Turner <r.turner_at_auckland.ac.nz>

Date: Wed, 23 Jul 2008 08:37:21 +1200

R-help_at_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. Received on Tue 22 Jul 2008 - 21:41:55 GMT

Date: Wed, 23 Jul 2008 08:37:21 +1200

On 23/07/2008, at 7:52 AM, cathelf wrote:

*>
*

> Hi, sorry for bothering your guys again.

*> I want to simulate 100 AR(1) data with cor(x_t, x_t-1)=rho=0.3. The
**> mean of
**> the first 70 data (x_1 to x_70) is 0 and the mean of the last 30
**> data (x_71
**> to x_100) is 2. Can I do it in the following way?
**>
**> x <- arima.sim(list=(ar=0.3), 100)
**> mean <- c(rep(0, 70), rep(2, 30))
**> xnew <- x+mean
**>
**>
**> If the above code to simulate 100 AR(1) data is right, what should
**> I do if I
**> want to simulate 1000 independent group of this data? Each group
**> contains
**> 100 AR(1) data. So it is a matrix of 1000*100. Each row is a AR(1).
**> I think
**> there should be a quicker way to do that? (the easies way is
**> simulate ar(1)
**> 1000 times, but it waste time, I think).
*

What else can you do? To simulate 1000 independent realizations of an AR(1) process you need to, uh, simulate 1000 independent realizations of an AR(1) process. Like. For compact ***code*** you could write something like: junk <- matrix(unlist(lapply(1:1000,function(x){arima.sim(list(ar=0.3),100)+mean})),nrow=1000,byrow=TRUE)

(as long as ``mean'' is there in your global workspace).

This took 0.619 seconds on my Imac; not too much time wasted.

But by turning your results into a matrix, you lose the time series attributes of your simulated series. Are you sure you need a matrix? You could simply create a *list* of length 1000, each entry of which is a realization of an AR(1) process. Just by doing: junk <- lapply(1:1000,function(x){arima.sim(list(ar=0.3),100)+mean})) Each entry of junk will be an object of class "ts" --- which might be a Good Thing. cheers, Rolf Turner ######################################################################Attention:\ This e-mail message is privileged and confid...{{dropped:9}}

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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. Received on Tue 22 Jul 2008 - 21:41:55 GMT

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