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 <-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've been unable to find how to do this from mailing lists or the web. I would be grateful for any insights people may have Thanks Jack Liddle Juelich Forschungszentrum ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.