Dear R users, I would like to simulate, for 20000 replications, an autoregressive process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma), Thank you in advance ____________________________________________________ Écoutez gratuitement le nouveau single de Noir Désir et découvrez d'autres titres en affinité avec vos goûts musicaux ! http://musiline.voila.fr/player/generate/4/15/31774/?intitule=Gagnants+%2F+Perdants [[alternative HTML version deleted]]
?arima.sim On Wed, 19 Nov 2008, hassen62 at voila.fr wrote:> Dear R users, > I would like to simulate, for 20000 replications, an autoregressive process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma), > Thank you in advance > > ____________________________________________________ > > ??coutez gratuitement le nouveau single de Noir D??sir et d??couvrez d'autres titres en affinit?? avec vos go??ts musicaux !??http://musiline.voila.fr/player/generate/4/15/31774/?intitule=Gagnants+%2F+Perdants > > [[alternative HTML version deleted]] > >-- 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
On 20/11/2008, at 10:54 AM, hassen62 at voila.fr wrote:> Dear R users, > I would like to simulate, for 20000 replications, an autoregressive > process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma), > Thank you in advance?arima.sim Note to R-core: This is actually rather hard for a neophyte to locate, I think. RSiteSearch("autoregression") didn't lead to anything useful as far as I could see. The task view for Time Series didn't mention simulation. ??autoregression leads to ar(), the ``See Also'' of which points to arima0() (???). Then arima0() has a ``See Also'' which points at arima, and finally arima() has a ``See Also'' which points to arima.sim(). The neophyte would need to be fairly clever and sophisticate, as well as not easily discouraged, to fight his or her way through all of this. cheers, Rolf Turner ###################################################################### Attention:\ This e-mail message is privileged and confid...{{dropped:9}}