User error (was arima.sim bug?)
On Sun, 2 Oct 2005, Kemp S E (Comp) wrote:
Hi, I am using the arima.sim function to generate some AR time series. However, the function does not seem to produce exactly the same time series when I specify the innov parameter. For example
r <- rnorm(300) x <- arima.sim(300, model=list(order=c(1,0,0),ar=c(.96)), innov=r, n.start=10) y <- arima.sim(300, model=list(order=c(1,0,0),ar=c(.96)), innov=r, n.start=10)
x[1:10]
[1] 3.194806 4.214894 5.168017 7.925152 8.810817 9.131695 [7] 7.521283 8.266911 8.923429 9.651293
y[1:10]
[1] -0.7202632 0.4564274 1.5598893 4.4613486 [5] 5.4855660 5.9394547 4.4567320 5.3249417 [9] 6.0991390 6.9399748 Given the fact that I have provided the innovations shouldn't the time series be exactly the same?
No. Hint: where does the randomness for the burn-in come from?
Brian D. Ripley, ripley at stats.ox.ac.uk 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