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arima
2009 Jul 21
0
Specifying initial values for arima.sim
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 <-arim...