[R] arima.sim bug?

From: Kemp S E (Comp) <sekemp_at_glam.ac.uk>
Date: Sun 02 Oct 2005 - 20:55:22 EST


Hi,

I am using the arima.sim function to generate some AR time series. However, the function does not seem to produce exactly the same time series when I specify the innov parameter. For example

> r <- rnorm(300)
> x <- arima.sim(300, model=list(order=c(1,0,0),ar=c(.96)), innov=r, n.start=10)
> y <- arima.sim(300, model=list(order=c(1,0,0),ar=c(.96)), innov=r, n.start=10)

> x[1:10]
[1] 3.194806 4.214894 5.168017 7.925152 8.810817 9.131695  [7] 7.521283 8.266911 8.923429 9.651293

> y[1:10]
[1] -0.7202632 0.4564274 1.5598893 4.4613486  [5] 5.4855660 5.9394547 4.4567320 5.3249417  [9] 6.0991390 6.9399748

Given the fact that I have provided the innovations shouldn't the time series be exactly the same?

Any help would be greatly appreciated.

All the best,

Sam.

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