[R] Generating random walks

oliver wee islandboy1982 at yahoo.com
Wed Feb 15 13:41:23 CET 2006


Hello, here is another question, how do I generate
random walk models in R? Basically, I need an AR(1)
model with the phi^1 value equal to 1:

Yt = c + Yt-1 + E

where E is random white noise.

I tried using the arima.sim command:

arima.sim(list(ar=c(1)), n = 1000, rand.gen = rnorm)

but got this error since the model I am generating is
not stationary:

Error in arima.sim(list(ar = c(1)), n = 1000, rand.gen
= rnorm) : 
        'ar' part of model is not stationary

I found arima.sim sufficient for generating stationary
models, but how about non-stationary models?

Thanks again for your help.




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