Re: [R] Generating random walks

From: Phineas Campbell <pcampbell_at_econ.bbk.ac.uk>
Date: Thu 16 Feb 2006 - 00:01:20 EST

cumsum(rnorm(100)+c)

HTH phineas

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch]On Behalf Of oliver wee Sent: Wednesday, February 15, 2006 12:41 PM To: r-help@stat.math.ethz.ch
Subject: [R] Generating random walks

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

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 Thu Feb 16 00:13:48 2006

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:42:31 EST