Re: [R] Generating random walks

From: Phineas Campbell <>
Date: Thu 16 Feb 2006 - 00:01:20 EST


HTH phineas

-----Original Message-----
[]On Behalf Of oliver wee Sent: Wednesday, February 15, 2006 12:41 PM To:
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. mailing list PLEASE do read the posting guide! mailing list PLEASE do read the posting guide! Received on Thu Feb 16 00:13:48 2006

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