Hello, here is another question, how do I generate
random walk models in R? Basically, I need an AR(1)
model with the phi^1 value equal to 1:
Yt = c + Yt-1 + E
where E is random white noise.
I tried using the arima.sim command:
arima.sim(list(ar=c(1)), n = 1000, rand.gen = rnorm)
but got this error since the model I am generating is
not stationary:
Error in arima.sim(list(ar = c(1)), n = 1000, rand.gen
= rnorm) :
'ar' part of model is not stationary
I found arima.sim sufficient for generating stationary
models, but how about non-stationary models?
Thanks again for your help.
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