On Fri, Jun 15, 2012 at 6:56 AM, Al Ehan <aehan3...@gmail.com> wrote: > Hi, > > I would like to make a replication of 10 of a linear, first order > Autoregressive function, with respect to the replication of its innovation, > e. for example: > > #where e is a random variables of innovation (from GEV distribution-that > explains the rgev) > #by using the arima.sim model from TSA package, I try to produce Y > replicates, with respect to every replicates of e, > #means for e[,1], I want to have say Y[,1]. > > The code: > > e=replicate(10,rgev(20,xi=0.2,mu= 931.1512,sigma= 168.2702 )) > Y=replicate(10,ts(arima.sim(list(ar=0.775),n=20,innov=e,start.innov=e))) > > what I get is the same random variables for every replicates of Y.
Well, what would you expect? You're passing the same values of e each time. What you probably want to do is to put the rgev call as the innov argument to arima.sim(). Take a look at the second example of ?arima.sim to see how its done (change the rt to rgev and you're good to go. Michael > > Can somebody help me in giving tips for the right way to simulate 'Y' > replicates, with respect to the 'e' sets generated ? > > Thanks in advance, > aen > > Below is the result for both e and Y > > e is: > [,1] [,2] [,3] [,4] [,5] [,6] [,7] > [,8] [,9] [,10] > [1,] 1004.6556 1052.4383 1182.9386 740.7879 917.9408 1068.8516 939.3510 > 767.9687 1404.9391 887.2097 > [2,] 976.1445 2065.3058 1375.2125 771.4417 813.0629 752.6230 855.2689 > 783.9922 1040.5202 1021.9163 > [3,] 806.4278 1093.6128 1105.2453 961.5645 2680.4879 1223.3578 1016.8091 > 1328.9994 1069.0436 770.2141 > [4,] 941.7239 835.8723 1281.5915 758.4810 1157.0755 989.6987 1374.7398 > 819.5419 2145.2202 912.0083 > [5,] 1278.2288 1230.8805 950.0978 1020.4950 1176.2052 917.6511 938.0180 > 1134.2910 948.9680 1239.7596 > [6,] 1370.5071 1152.9871 918.1371 1206.5982 1031.8577 1055.5165 1058.2840 > 992.4400 1385.1229 860.9707 > [7,] 792.2280 1088.3310 843.1889 850.0649 1090.4600 1063.3509 849.8213 > 857.7559 918.9895 924.3551 > [8,] 1342.4464 986.0477 1150.8336 876.8476 736.7059 874.5117 791.1349 > 1221.8736 1274.5753 1251.5058 > [9,] 855.5112 679.0765 896.8450 1035.9713 887.1466 966.9135 1097.9867 > 698.7444 1037.1916 925.6284 > [10,] 896.1308 1390.8897 1226.0070 940.0661 1122.1520 1282.2764 1100.4923 > 1028.7810 769.0136 1164.6884 > [11,] 1395.6821 1714.6703 1120.4880 957.8550 823.9834 890.8857 688.2862 > 1337.0698 1068.7425 979.0459 > [12,] 1000.8848 965.1944 1312.5296 780.4713 797.3911 1258.8812 768.1990 > 780.7888 1308.3333 1429.7170 > [13,] 923.6432 1736.6128 1744.1737 911.3581 986.5247 840.6579 1094.8875 > 1088.8576 1571.3999 1534.5975 > [14,] 1436.3669 1256.7590 835.3184 1233.7610 799.4020 906.7561 858.1808 > 774.7084 909.1261 1080.8908 > [15,] 1013.2007 1705.9792 1560.2684 1214.5330 1075.3175 946.8204 1002.4946 > 1096.0830 1254.5292 1186.1904 > [16,] 1234.8287 1127.0824 979.2170 867.8832 1326.6990 723.8658 1025.6396 > 707.3958 1033.7781 1182.6379 > [17,] 1289.7771 1083.7075 854.0004 1077.5405 1646.2762 743.7637 1132.9710 > 1004.6940 993.6281 1062.2983 > [18,] 985.4911 1023.1982 1115.5055 1274.4555 882.3684 949.3805 1092.2195 > 2973.9311 949.8960 1314.0438 > [19,] 965.2564 955.7152 1333.8170 1216.1322 758.6732 1224.0608 830.8886 > 1463.0854 1073.4099 865.2163 > [20,] 939.8106 840.0662 911.5299 678.0191 766.2572 1119.6836 719.0916 > 1068.7629 891.5782 1195.1606 > > > Y:. > [,1] [,2] [,3] [,4] [,5] [,6] [,7] > [,8] [,9] [,10] > [1,] 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075 > 5021.075 5021.075 5021.075 > [2,] 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478 > 4867.478 4867.478 4867.478 > [3,] 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723 > 4578.723 4578.723 4578.723 > [4,] 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234 > 4490.234 4490.234 4490.234 > [5,] 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160 > 4758.160 4758.160 4758.160 > [6,] 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081 > 5058.081 5058.081 5058.081 > [7,] 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241 > 4712.241 4712.241 4712.241 > [8,] 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433 > 4994.433 4994.433 4994.433 > [9,] 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197 > 4726.197 4726.197 4726.197 > [10,] 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934 > 4558.934 4558.934 4558.934 > [11,] 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856 > 4928.856 4928.856 4928.856 > [12,] 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748 > 4820.748 4820.748 4820.748 > [13,] 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723 > 4659.723 4659.723 4659.723 > [14,] 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652 > 5047.652 5047.652 5047.652 > [15,] 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131 > 4925.131 4925.131 4925.131 > [16,] 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805 > 5051.805 5051.805 5051.805 > [17,] 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926 > 5204.926 5204.926 5204.926 > [18,] 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309 > 5019.309 5019.309 5019.309 > [19,] 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221 > 4855.221 4855.221 4855.221 > [20,] 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607 > 4702.607 4702.607 4702.607 > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. ______________________________________________ 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.
