[R] Generating random walks

From: oliver wee <islandboy1982_at_yahoo.com>
Date: Wed 15 Feb 2006 - 23:41:23 EST

Hello, here is another question, how do I generate random walk models in R? Basically, I need an AR(1) model with the phi^1 value equal to 1:

Yt = c + Yt-1 + E

where E is random white noise.

I tried using the arima.sim command:

arima.sim(list(ar=c(1)), n = 1000, rand.gen = rnorm)

but got this error since the model I am generating is not stationary:

Error in arima.sim(list(ar = c(1)), n = 1000, rand.gen = rnorm) :

        'ar' part of model is not stationary

I found arima.sim sufficient for generating stationary models, but how about non-stationary models?

Thanks again for your help.

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 Feb 15 23:54:33 2006

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