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sim2
2009 Jul 21
0
Specifying initial values for arima.sim
...= 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...