[R] R 3.1.2 : arima.sim(model=list(ma=0.5), n=250, innov=rnorm(250, mean=0, sd=0.1)) versus arima.sim(model=list(ma=0.5), n=250, mean=0, sd=0.1) => only the first element is not identical !

[Fabien Tarrade]

just to correct something :

>> in your test1 call, you are not  supplying arguments for what should 
>> be used for the innovations associated with start.innov which is used 
>> for the burn in period. So, arima.sim  uses the defaults of mean = 0 
>> and sd = 1.0.
> > set.seed(123);
> > test1 <- arima.sim(model=list(ma=0.5), n = 
> 250,innov=rnorm(250,mean=0,sd=0.1))
> > print(head(test1))
> [1] -0.30326  0.14436  0.08499  0.01645  0.17797  0.13184
>
> > set.seed(123);
> > test3 <- arima.sim(model=list(ma=0.5), innov = rnorm(250,mean=0, 
> sd=1.0), n = 250, mean=0, sd=0.1)
> > print(head(test3))
> [1] -0.2582  1.4436  0.8499  0.1645  1.7797  1.3184
>
> this doesn't seems to be true or I misinterpret you explanation
as pointed out by Mark in a previous message :
set.seed(123);
test4 <- arima.sim(model=list(ma=0.5), innov = rnorm(250,mean=0, 
sd=0.1), n = 250, mean=0, sd=1.0)
print(head(test4))

do give the same result than test 1

Thanks
Cheers
Fabien
-- 
Dr Fabien Tarrade

Quantitative Analyst - Data Scientist - Researcher

Senior data analyst specialised in the modelling, processing and 
statistical treatment of data.
PhD in Physics, 10 years of experience as researcher at the forefront of 
international scientific research.
Fascinated by finance and data modelling.

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