[R] R: lags

[John Fox]

Dear Alan,

Perhaps there's a more clever solution, but the following will work and
follows directly from your statement of the problem (e.g., for 100
observations):

e <- rnorm(100)
y <- rep(0, 101)
for (t in 2:101) y[t] <- y[t-1] + e[t]
y <- y[-1]

I hope that this helps,
 John

On Tue, 10 Feb 2004 16:48:22 +0200
 allan clark <allan at stats.uct.ac.za> wrote:
> hi all
> 
> how does one simulate a random walk process?
> 
> i.e
> 
> y(0)=0
> 
> y(t)=y(t-1)+ e(t)
> 
> where e(t) is normal(0,1)  say.
> 
> Regards
> allan