From liang at stat.berkeley.edu  Wed Jul 16 21:40:51 2003
From: liang at stat.berkeley.edu (liang@stat.berkeley.edu)
Date: Wed Jul 16 20:40:42 2003
Subject: [Rd] arima.sim problems (PR#3495)
Message-ID: <200307161840.h6GIepJH012229@pubhealth.ku.dk>

Full_Name: Gang Liang
Version: 1.7.1
OS: Debian/Woody
Submission from: (NULL) (192.6.19.190)


> print(arima.sim(list(ar=.3,order=c(1,1,1)), 30))
 [1]  0.00000000  0.10734243  0.02907301 -1.23441659 -0.98819317 -2.82731975
 [7] -2.69052512 -4.22884756 -5.02820635 -5.41514613 -6.20486350 -7.01040649
[13] -6.78121289 -5.41111810 -4.96338053 -5.42395408 -6.22741444 -5.75228153
[19] -6.07346580 -7.71726137 -8.16647092 -7.39100567 -6.69696069 -4.77905714
[25] -1.73530839 -0.19721837  0.08528623  1.43992522  2.59292971  5.05894572
[31]  6.14539036

Several problems were found in the above code:

1. arima.sim returns a non-ts object when the differencing term is nonzero
   in the order parameter.
2. there are leading zeros in the simulated sequence again when order[2] is
   non-zero; therefore, the length of the returned object is not right.
3. in the above code, I specified the order of ma to be 1, while ma is not
   given: arima.sim then simply treats ma=0. I don't whether it is a feature
   or a possible bug. Personally, I think it may be a good idea to enforce
   certain constraint like: if the order of ma is not zero, then you must
   provide ma even zero values are fine, but you cannot leave it blank.

Thanks!
Gang


[Rd] arima.sim problems (PR#3495)
liang@stat.berkeley.edu