R help - Feb 2006 - 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.

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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