[R] AR(1) with an error term arima.sim parameter question
Michael Selevan
mselevan at gmail.com
Thu Dec 11 08:09:19 CET 2014
This makes sense, thank you for the thorough response!
One follow up question though. Would your #2 option be the same as, say,
not using the rand.gen at all and providing the following parameters
instead?
y3 <- arima.sim(n=10, list(ar=0.8), innov=rnorm(10, sd=0.2))
or even
y4 <- arima.sim(n=10, list(ar=0.8), innov=rnorm(10, sd=0.2),
innov.start=rnorm(10, sd=0.2))
Would either of these then be the same result as your option #2?
Thanks again!
On Wed, Dec 10, 2014 at 1:04 PM, Rolf Turner <r.turner at auckland.ac.nz>
wrote:
>
> Please see below.
>
>
> On 10/12/14 20:21, Michael Selevan wrote:
>
>> Hello,
>>
>> I am attempting to plot an AR(1) model with a standard deviation and I am
>> a
>> little confused as how to do that. I have been looking through the
>> interwebs and some documentation and I see that there is potentially a few
>> different ways to do this.
>>
>> First, simply using the documentation I came up with the command
>>
>> arima.sim(n=10, list(ar=0.8), innov=rnorm(10, sd=0.2))
>>
>> which would give me the standard deviation I want. Or I believe that to be
>> the case. However, after some more searching and googling, I saw an
>> example
>> where someone used this as a means of adding the AR error term
>>
>> error.model=function(n){rnorm(n, sd=0.2)}
>>
>> y = arima.sim(n=10, list(ar=0.8), innov=rnorm(10, sd=0.2), rand.gen=
>> error.model)
>> Now, I am a little confused by this. Would having the error term in the
>> innov parameter as well as the rand.gen be redundant? What would be the
>> expected differences between the two? Should only 1 be used?
>>
>> Just looking for some clarification. Been searching and havent found too
>> many examples that explicitly state how to add the error term to an AR(1)
>> model.
>>
>
> It's a little bit subtle, but in a way that's not too important.
>
> There is, in addition to "innov" a starting innovations vector
> "start.innov" that is needed. If either innov or start.innov is not
> supplied their values get supplied by rand.gen(). So in your second call
> to arima.sim() ***start.innov*** is being supplied by rand.gen()
> (but ***innov*** will be taken to be equal to the argument supplied.
>
> In your first call, where rand.gen() is not specified (and start.innov
> is not specified), the supplied value of innov will be used and
> start.innov will be produced by the *default* value of rand.gen()
> which is rnorm(), you'll get rnorm(n.start,0,1).
>
> Thus in your first call, the starting innovations will be done with a
> different standard deviation than the other innovations. Which is probably
> not what you want.
>
> Hence the second call is correct --- but it *is* kind of redundant and
> confusing to supply "innov" as well as rand.gen(). The code would be
> clearer if "innov" were dispensed with and it was just left to rand.gen()
> to do the work.
>
> The following is not important, but it might be mystifying: If you leave
> out "innov" you will get a different result --- even if you set a seed for
> the random number generators a priori. E.g.:
>
> # 1.
> set.seed(42)
> innov <- rnorm(10,0,0.2)
> error.model=function(n){rnorm(n, sd=0.2)}
> y1 <- arima.sim(n=10, list(ar=0.8), innov=innov,
> rand.gen=error.model)
>
> # 2.
> set.seed(42)
> error.model=function(n){rnorm(n, sd=0.2)}
> y2 <- arima.sim(n=10, list(ar=0.8),rand.gen=error.model)
>
> The vectors y1 and y2 are (surprisingly until you think carefully)
> different.
>
> This is because for y1, innov.start is generated *after* innov is
> generated, whereas for y2 innov.start is generated *before* innov is
> generated. The first entry of innov for y1 will be the same as the
> first entry of innov.start for y2. So the sequence of innovations is
> different.
>
> Bottom line: I would recommend *not* using the "innov" argument and
> just specifying rand.gen() to get the standard deviations that you want.
>
> HTH
>
> cheers,
>
> Rolf Turner
>
> --
> Rolf Turner
> Technical Editor ANZJS
>
--
J. Michael Selevan
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