Re: [R] User error (was arima.sim bug?)

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Mon 03 Oct 2005 - 00:33:47 EST

On Sun, 2 Oct 2005, 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?

No. Hint: where does the randomness for the burn-in come from?

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Mon Oct 03 00:37:44 2005

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