Try google'ing for 'variance of an AR(1) process'. With the same seed, if you set n=1000000, you will get something that will compare well with what you discover from your search.
On Tue, Nov 13, 2018 at 2:04 PM Ashim Kapoor <ashimkap...@gmail.com> wrote: > Dear All, > > Here is a reprex: > > set.seed(123) > b <- arima.sim(list(order = c(1,0,0),ar= .9),n=1000,sd=1) > arima(b) > > Call: > arima(x = b) > > Coefficients: > intercept > 0.2250 > s.e. 0.0688 > > sigma^2 estimated as 4.735: log likelihood = -2196.4, aic = 4396.81 > > > > Should sigma^2 not be equal to 1 ? Where do I misunderstand ? > > Many thanks, > Ashim > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
