Re: [R] arima.sim bug?

From: Sundar Dorai-Raj <sundar.dorai-raj_at_pdf.com>
Date: Sun 02 Oct 2005 - 22:24:26 EST

Kemp S E (Comp) wrote:
> 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.
>

Not a bug, but a difference in seeds. Try:

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

all.equal(x, y)
# [1] TRUE HTH, --sundar



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sun Oct 02 22:33:58 2005

This archive was generated by hypermail 2.1.8 : Sun 23 Oct 2005 - 18:08:38 EST