R help - May 2004 - Null model for arima.sim().

In some time series simulations I'm doing, I occasionally want the
model to be ``white noise'', i.e. no model at all.  I thought it
would be nice if I could fit this into the arima.sim() context,
without making an exceptional case.  I.e. one ***could*** do
something to the effect

	if(length(model)==0) x <- rnorm(n) else x <- arima.sim(model,n)

but it would be more suave if one could just use arima.sim() all the
time.

Experimenting I found that arima.sim() accepts an empty list as the
model, e.g.

	x <- arima.sim(list(),100)

and the result appears to be white noise.  There are a couple of
funnies, but.  One is that the resulting x is of length 99, rather
than 100.  The other is that if I do

	set.seed(42)
	x <- arima.sim(list(),101)
	set.seed(42)
	y <- rnorm(100)

the results are, modulo the order in which they appear, virtually
identical.  But not ***quite*** identical!  If I do
``sort(x)-sort(y)'' I get  zeroes (to 9 decimal places) everywhere,
except for entries 86 to 90, which are

    [86] -0.013709324 -0.087867933 -0.002327022 -0.015243692 -0.050845101

Perhaps arima.sim() is not really intended to accept an empty list
as a model, and the fact that I'm getting something like the output
of rnorm() by feeding it an empty list is just serendipity.  But
it would seem that there may be something subtle going on here.
Any ideas?

				cheers,

					Rolf Turner
					rolf at math.unb.ca

P. S.:
 > version
         _
platform i686-pc-linux-gnu
arch     i686
os       linux-gnu
system   i686, linux-gnu
status
major    1
minor    9.0
year     2004
month    04
day      12
language R

It's not really intended to work, but a small change makes it work.
(1:nstart is wrong for a null model.)

list(ar=numeric(0), ma=numeric(0)) might be a little clearer.


On Mon, 24 May 2004, Rolf Turner wrote:
> 
> In some time series simulations I'm doing, I occasionally want the
> model to be ``white noise'', i.e. no model at all.  I thought it
> would be nice if I could fit this into the arima.sim() context,
> without making an exceptional case.  I.e. one ***could*** do
> something to the effect
> 
> 	if(length(model)==0) x <- rnorm(n) else x <- arima.sim(model,n)
> 
> but it would be more suave if one could just use arima.sim() all the
> time.
> 
> Experimenting I found that arima.sim() accepts an empty list as the
> model, e.g.
> 
> 	x <- arima.sim(list(),100)
> 
> and the result appears to be white noise.  There are a couple of
> funnies, but.  One is that the resulting x is of length 99, rather
> than 100.  The other is that if I do
> 
> 	set.seed(42)
> 	x <- arima.sim(list(),101)
> 	set.seed(42)
> 	y <- rnorm(100)
> 
> the results are, modulo the order in which they appear, virtually
> identical.  But not ***quite*** identical!  If I do
> ``sort(x)-sort(y)'' I get  zeroes (to 9 decimal places) everywhere,
> except for entries 86 to 90, which are
> 
>     [86] -0.013709324 -0.087867933 -0.002327022 -0.015243692 -0.050845101
> 
> Perhaps arima.sim() is not really intended to accept an empty list
> as a model, and the fact that I'm getting something like the output
> of rnorm() by feeding it an empty list is just serendipity.  But
> it would seem that there may be something subtle going on here.
> Any ideas?

-- 
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