inst/book-ex/Rcode-3-1.R

set.seed(123456)
e <- rnorm(500)
## pure random walk
rw.nd <- cumsum(e)
## trend
trd <- 1:500
## random walk with drift
rw.wd <- 0.5*trd + cumsum(e)
## deterministic trend and noise
dt <- e + 0.5*trd
## plotting
par(mar=rep(5,4))
plot.ts(dt, lty=1, ylab='', xlab='')
lines(rw.wd, lty=2)
par(new=T)
plot.ts(rw.nd, lty=3, axes=FALSE)
axis(4, pretty(range(rw.nd)))
lines(rw.nd, lty=3)
legend(10, 18.7, legend=c('det. trend + noise (ls)',
                   'rw drift (ls)', 'rw (rs)'),
       lty=c(1, 2, 3)) 
cheaton/vars2 documentation built on Oct. 1, 2018, 12:22 a.m.