R: lags

How about:

y<-cumsum(c(0,rnorm(100)))

hi all

how does one simulate a random walk process?

i.e

y(0)=0

y(t)=y(t-1)+ e(t)

where e(t) is normal(0,1)  say.

Regards
allan

how does one simulate a random walk process?

i.e

y(0)=0

y(t)=y(t-1)+ e(t)

where e(t) is normal(0,1)  say.

cumsum(c(0,rnorm(10000)))

?

Claus

*****************************************
Claus Thorn Ekstr?m <ekstrom at dina.kvl.dk>
Dept of Mathematics and Physics, KVL
Thorvaldsensvej 40
DK-1871 Frederiksberg C
Denmark
Phone:[+45] 3528 2341
Fax:  [+45] 3528 2350

hi all

how does one simulate a random walk process?

i.e

y(0)=0

y(t)=y(t-1)+ e(t)

where e(t) is normal(0,1)  say.

e<-rnorm(100)
y<-cumsum(e)

	-thomas

Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle

Dear Alan,

Perhaps there's a more clever solution, but the following will work and
follows directly from your statement of the problem (e.g., for 100
observations):

e <- rnorm(100)
y <- rep(0, 101)
for (t in 2:101) y[t] <- y[t-1] + e[t]
y <- y[-1]

I hope that this helps,
 John

On Tue, 10 Feb 2004 16:48:22 +0200

hi all

how does one simulate a random walk process?

i.e

y(0)=0

y(t)=y(t-1)+ e(t)

where e(t) is normal(0,1)  say.

Regards
allan

allan clark <allan at stats.uct.ac.za> writes:

hi all

how does one simulate a random walk process?

i.e

y(0)=0

y(t)=y(t-1)+ e(t)

where e(t) is normal(0,1)  say.

E.g.,

c(0,cumsum(rnorm(1000)))

O__  ---- Peter Dalgaard             Blegdamsvej 3  
  c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
 (*) \(*) -- University of Copenhagen   Denmark      Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: (+45) 35327907