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

From: Brian D Ripley <ripley_at_stats.ox.ac.uk>
Date: Wed 05 Oct 2005 - 08:22:36 EST


On Tue, 4 Oct 2005, Rolf Turner wrote:

>
> Brian Ripley wrote (in response to S. E. Kemp):
>
> > > 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
> <snip>
> > > 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?
>
> What then, pray tell, is the point of having the
> ``innov'' argument at all?

To allow non-Gaussian innovations, in particular for use in bootstrapping time series. (This started life in package boot and is used in example(tsboot).)

-- 
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

______________________________________________
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 Wed Oct 05 08:28:00 2005

This archive was generated by hypermail 2.1.8 : Sun 23 Oct 2005 - 18:18:29 EST