Hi,
I would like to make a replication of 10 of a linear, first order
Autoregressive function, with respect to the replication of its innovation,
e. for example:
#where e is a random variables of innovation (from GEV distribution-that
explains the rgev)
#by using the arima.sim model from TSA package, I try to produce Y
replicates, with respect to every replicates of e,
#means for e[,1], I want to have say Y[,1].
The code:
e=replicate(10,rgev(20,xi=0.2,mu= 931.1512,sigma= 168.2702 ))
Y=replicate(10,ts(arima.sim(list(ar=0.775),n=20,innov=e,start.innov=e)))
what I get is the same random variables for every replicates of Y.
Can somebody help me in giving tips for the right way to simulate 'Y'
replicates, with respect to the 'e' sets generated ?
Thanks in advance,
aen
Below is the result for both e and Y
e is:
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[,8] [,9] [,10]
[1,] 1004.6556 1052.4383 1182.9386 740.7879 917.9408 1068.8516 939.3510
767.9687 1404.9391 887.2097
[2,] 976.1445 2065.3058 1375.2125 771.4417 813.0629 752.6230 855.2689
783.9922 1040.5202 1021.9163
[3,] 806.4278 1093.6128 1105.2453 961.5645 2680.4879 1223.3578 1016.8091
1328.9994 1069.0436 770.2141
[4,] 941.7239 835.8723 1281.5915 758.4810 1157.0755 989.6987 1374.7398
819.5419 2145.2202 912.0083
[5,] 1278.2288 1230.8805 950.0978 1020.4950 1176.2052 917.6511 938.0180
1134.2910 948.9680 1239.7596
[6,] 1370.5071 1152.9871 918.1371 1206.5982 1031.8577 1055.5165 1058.2840
992.4400 1385.1229 860.9707
[7,] 792.2280 1088.3310 843.1889 850.0649 1090.4600 1063.3509 849.8213
857.7559 918.9895 924.3551
[8,] 1342.4464 986.0477 1150.8336 876.8476 736.7059 874.5117 791.1349
1221.8736 1274.5753 1251.5058
[9,] 855.5112 679.0765 896.8450 1035.9713 887.1466 966.9135 1097.9867
698.7444 1037.1916 925.6284
[10,] 896.1308 1390.8897 1226.0070 940.0661 1122.1520 1282.2764 1100.4923
1028.7810 769.0136 1164.6884
[11,] 1395.6821 1714.6703 1120.4880 957.8550 823.9834 890.8857 688.2862
1337.0698 1068.7425 979.0459
[12,] 1000.8848 965.1944 1312.5296 780.4713 797.3911 1258.8812 768.1990
780.7888 1308.3333 1429.7170
[13,] 923.6432 1736.6128 1744.1737 911.3581 986.5247 840.6579 1094.8875
1088.8576 1571.3999 1534.5975
[14,] 1436.3669 1256.7590 835.3184 1233.7610 799.4020 906.7561 858.1808
774.7084 909.1261 1080.8908
[15,] 1013.2007 1705.9792 1560.2684 1214.5330 1075.3175 946.8204 1002.4946
1096.0830 1254.5292 1186.1904
[16,] 1234.8287 1127.0824 979.2170 867.8832 1326.6990 723.8658 1025.6396
707.3958 1033.7781 1182.6379
[17,] 1289.7771 1083.7075 854.0004 1077.5405 1646.2762 743.7637 1132.9710
1004.6940 993.6281 1062.2983
[18,] 985.4911 1023.1982 1115.5055 1274.4555 882.3684 949.3805 1092.2195
2973.9311 949.8960 1314.0438
[19,] 965.2564 955.7152 1333.8170 1216.1322 758.6732 1224.0608 830.8886
1463.0854 1073.4099 865.2163
[20,] 939.8106 840.0662 911.5299 678.0191 766.2572 1119.6836 719.0916
1068.7629 891.5782 1195.1606
Y:.
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[,8] [,9] [,10]
[1,] 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075
5021.075 5021.075 5021.075
[2,] 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478
4867.478 4867.478 4867.478
[3,] 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723
4578.723 4578.723 4578.723
[4,] 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234
4490.234 4490.234 4490.234
[5,] 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160
4758.160 4758.160 4758.160
[6,] 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081
5058.081 5058.081 5058.081
[7,] 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241
4712.241 4712.241 4712.241
[8,] 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433
4994.433 4994.433 4994.433
[9,] 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197
4726.197 4726.197 4726.197
[10,] 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934
4558.934 4558.934 4558.934
[11,] 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856
4928.856 4928.856 4928.856
[12,] 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748
4820.748 4820.748 4820.748
[13,] 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723
4659.723 4659.723 4659.723
[14,] 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652
5047.652 5047.652 5047.652
[15,] 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131
4925.131 4925.131 4925.131
[16,] 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805
5051.805 5051.805 5051.805
[17,] 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926
5204.926 5204.926 5204.926
[18,] 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309
5019.309 5019.309 5019.309
[19,] 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221
4855.221 4855.221 4855.221
[20,] 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607
4702.607 4702.607 4702.607
[[alternative HTML version deleted]]
R. Michael Weylandt
2012-Jun-16 03:01 UTC
[R] Replication of linear model/autoregressive model
On Fri, Jun 15, 2012 at 6:56 AM, Al Ehan <aehan3616 at gmail.com> wrote:> Hi, > > I would like to make a replication of 10 of a linear, first order > Autoregressive function, with respect to the replication of its innovation, > e. for example: > > #where e is a random variables of innovation (from GEV distribution-that > explains the rgev) > #by using the arima.sim model from TSA package, I try to produce Y > replicates, with respect to every replicates of e, > #means for e[,1], I want to have say Y[,1]. > > The code: > > e=replicate(10,rgev(20,xi=0.2,mu= 931.1512,sigma= 168.2702 )) > Y=replicate(10,ts(arima.sim(list(ar=0.775),n=20,innov=e,start.innov=e))) > > what I get is the same random variables for every replicates of Y.Well, what would you expect? You're passing the same values of e each time. What you probably want to do is to put the rgev call as the innov argument to arima.sim(). Take a look at the second example of ?arima.sim to see how its done (change the rt to rgev and you're good to go. Michael> > Can somebody help me in giving tips for the right way to simulate 'Y' > replicates, with respect to the 'e' sets generated ? > > Thanks in advance, > aen > > Below is the result for both e and Y > > e is: > ? ? ? ? ? [,1] ? ? ?[,2] ? ? ?[,3] ? ? ?[,4] ? ? ?[,5] ? ? ?[,6] ? ? ?[,7] > ? ? [,8] ? ? ?[,9] ? ? [,10] > ?[1,] 1004.6556 1052.4383 1182.9386 ?740.7879 ?917.9408 1068.8516 ?939.3510 > ?767.9687 1404.9391 ?887.2097 > ?[2,] ?976.1445 2065.3058 1375.2125 ?771.4417 ?813.0629 ?752.6230 ?855.2689 > ?783.9922 1040.5202 1021.9163 > ?[3,] ?806.4278 1093.6128 1105.2453 ?961.5645 2680.4879 1223.3578 1016.8091 > 1328.9994 1069.0436 ?770.2141 > ?[4,] ?941.7239 ?835.8723 1281.5915 ?758.4810 1157.0755 ?989.6987 1374.7398 > ?819.5419 2145.2202 ?912.0083 > ?[5,] 1278.2288 1230.8805 ?950.0978 1020.4950 1176.2052 ?917.6511 ?938.0180 > 1134.2910 ?948.9680 1239.7596 > ?[6,] 1370.5071 1152.9871 ?918.1371 1206.5982 1031.8577 1055.5165 1058.2840 > ?992.4400 1385.1229 ?860.9707 > ?[7,] ?792.2280 1088.3310 ?843.1889 ?850.0649 1090.4600 1063.3509 ?849.8213 > ?857.7559 ?918.9895 ?924.3551 > ?[8,] 1342.4464 ?986.0477 1150.8336 ?876.8476 ?736.7059 ?874.5117 ?791.1349 > 1221.8736 1274.5753 1251.5058 > ?[9,] ?855.5112 ?679.0765 ?896.8450 1035.9713 ?887.1466 ?966.9135 1097.9867 > ?698.7444 1037.1916 ?925.6284 > [10,] ?896.1308 1390.8897 1226.0070 ?940.0661 1122.1520 1282.2764 1100.4923 > 1028.7810 ?769.0136 1164.6884 > [11,] 1395.6821 1714.6703 1120.4880 ?957.8550 ?823.9834 ?890.8857 ?688.2862 > 1337.0698 1068.7425 ?979.0459 > [12,] 1000.8848 ?965.1944 1312.5296 ?780.4713 ?797.3911 1258.8812 ?768.1990 > ?780.7888 1308.3333 1429.7170 > [13,] ?923.6432 1736.6128 1744.1737 ?911.3581 ?986.5247 ?840.6579 1094.8875 > 1088.8576 1571.3999 1534.5975 > [14,] 1436.3669 1256.7590 ?835.3184 1233.7610 ?799.4020 ?906.7561 ?858.1808 > ?774.7084 ?909.1261 1080.8908 > [15,] 1013.2007 1705.9792 1560.2684 1214.5330 1075.3175 ?946.8204 1002.4946 > 1096.0830 1254.5292 1186.1904 > [16,] 1234.8287 1127.0824 ?979.2170 ?867.8832 1326.6990 ?723.8658 1025.6396 > ?707.3958 1033.7781 1182.6379 > [17,] 1289.7771 1083.7075 ?854.0004 1077.5405 1646.2762 ?743.7637 1132.9710 > 1004.6940 ?993.6281 1062.2983 > [18,] ?985.4911 1023.1982 1115.5055 1274.4555 ?882.3684 ?949.3805 1092.2195 > 2973.9311 ?949.8960 1314.0438 > [19,] ?965.2564 ?955.7152 1333.8170 1216.1322 ?758.6732 1224.0608 ?830.8886 > 1463.0854 1073.4099 ?865.2163 > [20,] ?939.8106 ?840.0662 ?911.5299 ?678.0191 ?766.2572 1119.6836 ?719.0916 > 1068.7629 ?891.5782 1195.1606 > > > Y:. > ? ? ? ? ?[,1] ? ? [,2] ? ? [,3] ? ? [,4] ? ? [,5] ? ? [,6] ? ? [,7] > [,8] ? ? [,9] ? ?[,10] > ?[1,] 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075 > 5021.075 5021.075 5021.075 > ?[2,] 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478 > 4867.478 4867.478 4867.478 > ?[3,] 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723 > 4578.723 4578.723 4578.723 > ?[4,] 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234 > 4490.234 4490.234 4490.234 > ?[5,] 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160 > 4758.160 4758.160 4758.160 > ?[6,] 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081 > 5058.081 5058.081 5058.081 > ?[7,] 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241 > 4712.241 4712.241 4712.241 > ?[8,] 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433 > 4994.433 4994.433 4994.433 > ?[9,] 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197 > 4726.197 4726.197 4726.197 > [10,] 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934 > 4558.934 4558.934 4558.934 > [11,] 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856 > 4928.856 4928.856 4928.856 > [12,] 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748 > 4820.748 4820.748 4820.748 > [13,] 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723 > 4659.723 4659.723 4659.723 > [14,] 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652 > 5047.652 5047.652 5047.652 > [15,] 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131 > 4925.131 4925.131 4925.131 > [16,] 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805 > 5051.805 5051.805 5051.805 > [17,] 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926 > 5204.926 5204.926 5204.926 > [18,] 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309 > 5019.309 5019.309 5019.309 > [19,] 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221 > 4855.221 4855.221 4855.221 > [20,] 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607 > 4702.607 4702.607 4702.607 > > ? ? ? ?[[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.