Hi,

I would like to make a replication of 10 of a linear, first order
Autoregressive function, with respect to the replication of its innovation,
e. for example:

#where e is a random variables of innovation (from GEV distribution-that
explains the rgev)
#by using the arima.sim model from TSA package, I try to produce Y
replicates, with respect to every replicates of e,
#means for e[,1], I want to have say Y[,1].

The code:

e=replicate(10,rgev(20,xi=0.2,mu= 931.1512,sigma= 168.2702 ))
Y=replicate(10,ts(arima.sim(list(ar=0.775),n=20,innov=e,start.innov=e)))

what I get is the same random variables for every replicates of Y.

Can somebody help me in giving tips for the right way to simulate 'Y'
replicates, with respect to the 'e' sets generated ?

Thanks in advance,
aen

Below is the result for both e and Y

e is:
           [,1]      [,2]      [,3]      [,4]      [,5]      [,6]      [,7]
     [,8]      [,9]     [,10]
 [1,] 1004.6556 1052.4383 1182.9386  740.7879  917.9408 1068.8516  939.3510
 767.9687 1404.9391  887.2097
 [2,]  976.1445 2065.3058 1375.2125  771.4417  813.0629  752.6230  855.2689
 783.9922 1040.5202 1021.9163
 [3,]  806.4278 1093.6128 1105.2453  961.5645 2680.4879 1223.3578 1016.8091
1328.9994 1069.0436  770.2141
 [4,]  941.7239  835.8723 1281.5915  758.4810 1157.0755  989.6987 1374.7398
 819.5419 2145.2202  912.0083
 [5,] 1278.2288 1230.8805  950.0978 1020.4950 1176.2052  917.6511  938.0180
1134.2910  948.9680 1239.7596
 [6,] 1370.5071 1152.9871  918.1371 1206.5982 1031.8577 1055.5165 1058.2840
 992.4400 1385.1229  860.9707
 [7,]  792.2280 1088.3310  843.1889  850.0649 1090.4600 1063.3509  849.8213
 857.7559  918.9895  924.3551
 [8,] 1342.4464  986.0477 1150.8336  876.8476  736.7059  874.5117  791.1349
1221.8736 1274.5753 1251.5058
 [9,]  855.5112  679.0765  896.8450 1035.9713  887.1466  966.9135 1097.9867
 698.7444 1037.1916  925.6284
[10,]  896.1308 1390.8897 1226.0070  940.0661 1122.1520 1282.2764 1100.4923
1028.7810  769.0136 1164.6884
[11,] 1395.6821 1714.6703 1120.4880  957.8550  823.9834  890.8857  688.2862
1337.0698 1068.7425  979.0459
[12,] 1000.8848  965.1944 1312.5296  780.4713  797.3911 1258.8812  768.1990
 780.7888 1308.3333 1429.7170
[13,]  923.6432 1736.6128 1744.1737  911.3581  986.5247  840.6579 1094.8875
1088.8576 1571.3999 1534.5975
[14,] 1436.3669 1256.7590  835.3184 1233.7610  799.4020  906.7561  858.1808
 774.7084  909.1261 1080.8908
[15,] 1013.2007 1705.9792 1560.2684 1214.5330 1075.3175  946.8204 1002.4946
1096.0830 1254.5292 1186.1904
[16,] 1234.8287 1127.0824  979.2170  867.8832 1326.6990  723.8658 1025.6396
 707.3958 1033.7781 1182.6379
[17,] 1289.7771 1083.7075  854.0004 1077.5405 1646.2762  743.7637 1132.9710
1004.6940  993.6281 1062.2983
[18,]  985.4911 1023.1982 1115.5055 1274.4555  882.3684  949.3805 1092.2195
2973.9311  949.8960 1314.0438
[19,]  965.2564  955.7152 1333.8170 1216.1322  758.6732 1224.0608  830.8886
1463.0854 1073.4099  865.2163
[20,]  939.8106  840.0662  911.5299  678.0191  766.2572 1119.6836  719.0916
1068.7629  891.5782 1195.1606


Y:.
          [,1]     [,2]     [,3]     [,4]     [,5]     [,6]     [,7]
[,8]     [,9]    [,10]
 [1,] 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075 5021.075
5021.075 5021.075 5021.075
 [2,] 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478 4867.478
4867.478 4867.478 4867.478
 [3,] 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723 4578.723
4578.723 4578.723 4578.723
 [4,] 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234 4490.234
4490.234 4490.234 4490.234
 [5,] 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160 4758.160
4758.160 4758.160 4758.160
 [6,] 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081 5058.081
5058.081 5058.081 5058.081
 [7,] 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241 4712.241
4712.241 4712.241 4712.241
 [8,] 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433 4994.433
4994.433 4994.433 4994.433
 [9,] 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197 4726.197
4726.197 4726.197 4726.197
[10,] 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934 4558.934
4558.934 4558.934 4558.934
[11,] 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856 4928.856
4928.856 4928.856 4928.856
[12,] 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748 4820.748
4820.748 4820.748 4820.748
[13,] 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723 4659.723
4659.723 4659.723 4659.723
[14,] 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652 5047.652
5047.652 5047.652 5047.652
[15,] 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131 4925.131
4925.131 4925.131 4925.131
[16,] 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805 5051.805
5051.805 5051.805 5051.805
[17,] 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926 5204.926
5204.926 5204.926 5204.926
[18,] 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309 5019.309
5019.309 5019.309 5019.309
[19,] 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221 4855.221
4855.221 4855.221 4855.221
[20,] 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607 4702.607
4702.607 4702.607 4702.607

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