just to correct something :
in your test1 call, you are not supplying arguments for what should
be used for the innovations associated with start.innov which is used
for the burn in period. So, arima.sim uses the defaults of mean = 0
and sd = 1.0.
> set.seed(123);
> test1 <- arima.sim(model=list(ma=0.5), n =
250,innov=rnorm(250,mean=0,sd=0.1))
> print(head(test1))
[1] -0.30326 0.14436 0.08499 0.01645 0.17797 0.13184
> set.seed(123);
> test3 <- arima.sim(model=list(ma=0.5), innov = rnorm(250,mean=0,
sd=1.0), n = 250, mean=0, sd=0.1)
> print(head(test3))
[1] -0.2582 1.4436 0.8499 0.1645 1.7797 1.3184
this doesn't seems to be true or I misinterpret you explanation
as pointed out by Mark in a previous message :
set.seed(123);
test4 <- arima.sim(model=list(ma=0.5), innov = rnorm(250,mean=0,
sd=0.1), n = 250, mean=0, sd=1.0)
print(head(test4))
do give the same result than test 1
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.
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