Hi Al, Michael, On Sat, Jun 16, 2012 at 11:01 AM, R. Michael Weylandt <michael.weyla...@gmail.com> wrote: > 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. >
More specifically, you'd do something like Y <- replicate(10, ts(arima.sim(list(ar=0.775), n=20, rand.gen=rgev, xi=0.2, mu=931.1512, sigma=168.2702))) - Jon ______________________________________________ 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.
