Hi Everyone,
I'm having a problem with arima.sim. Namely specifying inital values
for the series.
If I generate a random walk
> vs = rnorm(100,0,1)
> xs = cumsum(vs)
and fit an ARIMA(1,0,0) to it
> xarima = arima(xs,order=c(1,0,0))
> xarima
Call:
arima(x = xs, order = c(1, 0, 0))
Coefficients:
ar1 intercept
0.9895 8.6341
s.e. 0.0106 6.1869
I should then be able to simulate this ARIMA process, using the
residuals. Lets do this twice for comparison
> xsim1 <-arima.sim(n = 100,innov=residuals(xarima),list(ar = c(0.9895)),
)
> xsim2 <-arima.sim(n = 100,innov=residuals(xarima),list(ar = c(0.9895)),
)
> xsim1[1]
[1] -4.855137> xsim2[1]
[1] 5.511827> xs[1]
[1] 1.014863
Clearly these series are starting from different initial values. For
the ARIMA(1,0,0) only one value need be specified, but how do I do
that.
I've been unable to find how to do this from mailing lists or the web.
I would be grateful for any insights people may have
Thanks
Jack Liddle
Juelich Forschungszentrum