On Mon, 10 Oct 2005, Hjellvik Vidar wrote: > Hello, > > I have used the arima.sim function to generate a lot of time series, but to > day I got som results that I didn't quite understand. Generating two time > series z0 and z1 as > > eps <- rnorm(n, sd=0.03) > z0 <- arima.sim(list(ar=c(0.9)), n=n, innov=eps) > > and > > z1 <- arima.sim(list(ar=c(0.9)), n=n, sd=0.03), > > I would expect z0 and z1 to be qualitatively similar. However, with n=10 the > two series could look like this: > > z0 = -4.1258 -3.7326 -3.3269 -2.9813 -2.7314 -2.4416 -2.2223 -2.0083 -1.7848 > -1.6016 > z1 = -0.1001 -0.0885 -0.0767 -0.0531 -0.0647 -0.0268 -0.0118 -0.0153 0.0038 > -0.0364 > > Using a larger n, z0 converges to the right level after some time, but it > would have been nice to have it there from the first observation... I took a > look into the code for arima.sim, and I think I found the reason for this > behaviour in the line > > x <- ts(c(rand.gen(n.start, ...), innov[1:n]), start = 1 - n.start) > > It seems like the "warming up" innovations are standard normal, and that > that's why the first observations of z0 are so large in magnitude. So > one solution is to generate
Yes, that is what it says on the help page. > z0 <- arima.sim(list(ar=c(0.9)), n=n, innov=eps, sd=sd(eps)), > > but I didn't figure out this before having taken a look at the code. Reading the help page would have told you. Make sure you look in the current version of R. > So my question is: > > Wouldn't it be a good idea to have the calculation of the standard > deviation of the "warming up" observations done in arima.sim? Or maybe > that the "warming up" observations were sampled from innov, in case the > innovations are not gaussian? Take a look at the R-devel version of arima.sim. It _would_ be a good idea to read the posting guide and follow its requests. -- Brian D. Ripley, [EMAIL PROTECTED] 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-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
