Re: [R] Generating random walks

From: Phineas Campbell <pcampbell_at_econ.bbk.ac.uk>
Date: Thu 16 Feb 2006 - 02:11:28 EST


In retrospect

        x<-cumsum(rnorm(n=100, mean=c))

will probably work quicker

Phineas

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch]On Behalf Of Phineas Campbell Sent: Wednesday, February 15, 2006 1:01 PM To: 'R-Help
Subject: Re: [R] Generating random walks

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.



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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 02:15:09 2006

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