Message-ID: <NGECIFANPOJAGABBAEAPEEHKFJAA.pcampbell@econ.bbk.ac.uk>
Date: 2006-02-15T15:11:28Z
From: Phineas Campbell
Subject: Generating random walks
In-Reply-To: <NGECIFANPOJAGABBAEAPMEHIFJAA.pcampbell@econ.bbk.ac.uk>
In retrospect
x<-cumsum(rnorm(n=100, mean=c))
will probably work quicker
Phineas
-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at 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 at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of oliver wee
Sent: Wednesday, February 15, 2006 12:41 PM
To: r-help at 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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