Dear all,
When doing a DataCamp tutorial with R I find the following observation
that using 2 different syntax for "arima.sim" give different answer for
the first element
If I use the the function using the list of argument describe in the
help manual :
arima.sim(model=list(ma=0.5),n=250,innov=rnorm(250,mean=0,sd=0.1))
or if I use the following syntax use in a DataCamp example :
arima.sim(model=list(ma=0.5), n=250, mean=0, sd=0.1) it is accepted by
DataCamp
I don't find exactly the same results. The reason is that even if the
seed is the same in both cases the first element is not identical while
it should be (it doesn't mean that the results is wrong, maybe for the
first element the seed is not propagated correctly)
here the results of the difference using the same seed (only the first
element is different using the 2 different syntaxes) :
[1] -0.252214 0.000000 0.000000 0.000000 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000
[11] 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
0.000000 0.000000 0.000000 0.000000
here the code to reproduce this feature :
set.seed(123);
test1 <- 0.05 +
arima.sim(model=list(ma=0.5),n=250,innov=rnorm(250,mean=0,sd=0.1))
set.seed(123);
test2 <- 0.05 + arima.sim(model=list(ma=0.5), n=250, mean=0, sd=0.1)
test1-test2
I am using R 3.1.2 GUI 1.65 Mavericks build (6833) on Mac (I guess arima
come with stats which is included in R (?))
The DataCamp team ask me to report to you about this observation on this
mailing list. If you want me to fill a bug report some R bug tracking
system, let me know
Please tell me if this is the wrong list and which other information do
you need from R and how to get then (compiler, version of some R
packages ...)
Hope this help
Thanks
Cheers
Fabien
--
Dr Fabien Tarrade
Quantitative Analyst - Data Scientist - Researcher
Senior data analyst specialised in the modelling, processing and
statistical treatment of data.
PhD in Physics, 10 years of experience as researcher at the forefront of
international scientific research.
Fascinated by finance and data modelling.
Geneva, Switzerland
Email : cont...@fabien-tarrade.eu <mailto:cont...@fabien-tarrade.eu>
Phone : www.fabien-tarrade.eu <http://www.fabien-tarrade.eu>
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