[R] arima.sim bug?

[Sundar Dorai-Raj]

Kemp S E (Comp) wrote:
> Hi,
> 
> I am using the arima.sim function to generate some AR time series. However, the function does not seem to produce exactly the same time series when I specify the innov parameter. For example
> 
> 
>>r <- rnorm(300)
>>x <- arima.sim(300, model=list(order=c(1,0,0),ar=c(.96)), innov=r, n.start=10)
>>y <- arima.sim(300, model=list(order=c(1,0,0),ar=c(.96)), innov=r, n.start=10)
> 
> 
>>x[1:10]
> 
> [1] 3.194806 4.214894 5.168017 7.925152 8.810817 9.131695
>  [7] 7.521283 8.266911 8.923429 9.651293
> 
> 
>>y[1:10]
> 
> [1] -0.7202632  0.4564274  1.5598893  4.4613486
>  [5]  5.4855660  5.9394547  4.4567320  5.3249417
>  [9]  6.0991390  6.9399748
> 
> Given the fact that I have provided the innovations shouldn't the time series be exactly the same?
> 
> Any help would be greatly appreciated.
> 
> All the best,
> 
> Sam.
> 

Not a bug, but a difference in seeds. Try:

set.seed(1)
r <- rnorm(300)
m <- list(order = c(1,0,0), ar = c(.96))
set.seed(1)
x <- arima.sim(300, model = m, innov = r, n.start = 10)
set.seed(1)
y <- arima.sim(300, model = m, innov = r, n.start = 10)

all.equal(x, y)
# [1] TRUE

HTH,

--sundar