Displaying 1 result from an estimated 1 matches for "allsim".
2005 Mar 31
2
how to simulate a time series
...n=T)
> farma[["coef"]]
ar1 ma1 intercept
0.58091575 0.02313803 0.30417062
sim <- list(NULL) #simulated
for (i in 1:5) {
sim[[i]] <- as.vector(arima.sim(list(ar=c(farma[["coef"]][1]),
ma=c(farma[["coef"]][2])),n=length(rdtb),innov=rdtb))
}
allsim <- as.data.frame(sim)
colnames(allsim) <- paste("sim",1:5,sep="")
all <- cbind(rdtb,allsim)
#--------------------------------
I don't understand why the simulation runs generate virtually identical
values:
> all[100:105,]
rdtb sim1 sim2 sim...