Displaying 20 results from an estimated 5000 matches similar to: "Time series\optimization question not R question"
2009 Jun 19
1
using garchFit() to fit ARMA+GARCH model with exogeneous variables
Hello -
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t where \epsilon_t are i.i.d. random
variables
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta
2013 May 02
2
ARMA with other regressor variables
Hi,
I want to fit the following model to my data:
Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t
i.e. it is an ARMA(2,2) with some additional regressors X and M.
[Z_t's are the white noise variables]
How do I find the estimates of the coefficients in R?
And also I would like to know what technique R employs to find the
estimates?
Any help is appreciated.
Thanks,
2010 Aug 23
1
Fitting a GARCH model in R
Hi,
I want to fit a mean and variance model jointly.
For example I might want to fit an AR(2)-GARCH(1,1) model i.e.
r_t = constant_term1 + b*r_t-1 + c*r_t-2 + a_t
where a_t = sigma_t*epsilon_t
where sigma^2_t = constant_term2 + p*sigma^2_t-1 + q*a^2_t-1
i.e. R estimates a constant_term1, b, c, constant_term2, p, q
TIA
Aditya
2013 May 02
1
warnings in ARMA with other regressor variables
Hi all,
I want to fit the following model to my data:
Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t
i.e. it is an ARMA(2,2) with some additional regressors X and M.
[Z_t's are the white noise variables]
So, I run the following code:
for (i in 1:rep) { index=sample(4,15,replace=T)
final<-do.call(rbind,lapply(index,function(i)
2010 Aug 21
1
How to find residual in predict ARIMA
Dear All,
I have a model to predict time series data for example:
data(LakeHuron)
Lake.fit <- arima(LakeHuron,order=c(1,0,1))
then the function predict() can be used for predicting future data
with the model:
LakeH.pred <- predict(Lake.fit,n.ahead=5)
I can see the result LakeH.pred$pred and LakeH.pred$se but I did not
see residual in predict function.
If I have a model:
[\
Z_t =
2009 Apr 26
1
simulate arima model
I am new in R.
I can simulate Arma, using Arima.sim
However, I want to simulate an Arima Model. Say (1-B)Zt=5+(1-B)at. I do not
know how to deal with 5 in this model.
Can any one could help me?
Thank you very much!
Regards,
--
View this message in context: http://www.nabble.com/simulate-arima-model-tp23239027p23239027.html
Sent from the R help mailing list archive at Nabble.com.
2013 Mar 12
1
rugarch: GARCH with Johnson Su innovations
Hey,
I'm trying to implement a GARCH model with Johnson-Su innovations in order to simulate returns of financial asset. The model should look like this:
r_t = alpha + lambda*sqrt(h_t) + sqrt(h_t)*epsilon_t
h_t = alpha0 + alpha1*epsilon_(t-1)^2 + beta1 * h_(t-1).
Alpha refers to a risk-free return, lambda to the risk-premium.
I've implemented it like this:
#specification of the model
2013 Feb 17
0
forecast ARMA(1,1)/GARCH(1,1) using fGarch library
Hi, i am working in the forecast of the daily price crude .
The last prices of this data are the following:
100.60 101.47 100.20 100.06 98.68 101.28 101.05 102.13 101.70 98.27
101.00 100.50 100.03 102.23 102.68 103.32 102.67 102.23 102.14 101.25
101.11 99.90 98.53 96.76 96.12 96.54 96.30 95.92 95.92 93.45
93.71 96.42 93.99 93.76 95.24 95.63 95.95 95.83 95.65
2007 Apr 03
2
HPDinterval problem
Hi,
Can anyone tell me why I am not getting the correct intervals for
fixed effect terms for the following generalized linear mixed model
from HPDinterval:
> sessionInfo()
R version 2.4.1 (2006-12-18)
i386-pc-mingw32
locale:
LC_COLLATE=English_United States.1252;LC_CTYPE=English_United
States.1252;LC_MONETARY=English_United
States.1252;LC_NUMERIC=C;LC_TIME=English_United States.1252
2011 Feb 26
0
A problem about realized garch model
Hi, I am trying to write the Realized GARCH model with order (1,1)
The model can be describe bellow:
r_t = sqrt( h_t) * z_t
logh_t = w + b*logh_(t-1) + r*logx_(t-1)
logx_t = c + q*logh_t + t1*z_t +t2*(z_t ^2 -1) + u_t
and z follow N(0,1) , u follow N(0, sigma.u^2)
But I'm troubled with the simulation check for my code.
After I simulate data from the model and estimate the data,
I
2005 Jul 17
1
Time Series Count Models
Hello,
I'm trying to model the entry of certain firms into a larger number of
distinct markets over time. I have a short time series, but a large
cross section (small T, big N).
I have both time varying and non-time varying variables. Additionally,
since I'm modeling entry of firms, it seems like the number of
existing firms in the market at time t should depend on the number of
firms at
2011 Nov 12
1
State space model
Hi,
I'm trying to estimate the parameters of a state space model of the
following form
measurement eq:
z_t = a + b*y_t + eps_t
transition eq
y_t+h = (I -exp(-hL))theta + exp(-hL)y_t+ eta_{t+h}.
The problem is that the distribution of the innovations of the transition
equation depend on the previous value of the state variable.
To be exact: y_t|y_{t-1} ~N(mu, Q_t) where Q is a diagonal
2006 Dec 20
2
Kalman Filter in Control situation.
I am looking for a Kalman filter that can handle a control input. I thought
that l.SS was suitable however, I can't get it to work, and wonder if I am
not using the right function. What I want is a Kalman filter that accepts
exogenous inputs where the input is found using the algebraic Ricatti
equation solution to a penalty function. If K is the gain matrix then the
exogenous input
2006 Jun 19
1
useR! Thanks
After attending my first useR! conference I want to thank the organizers
for doing a wonderful job and the presenters for their high quality
presentations and stimulating ideas. The conference venue was
excellent and of course Vienna is one of the greatest cities in the
world to visit. useR! is one of the most fun conferences I've attended.
Thanks again!
--
Frank E Harrell Jr
2007 Dec 12
2
discrepancy between periodogram implementations ? per and spec.pgram
hello,
I have been using the per function in package longmemo to obtain a
simple raw periodogram.
I am considering to switch to the function spec.pgram since I want to be
able to do tapering.
To compare both I used spec.pgram with the options as suggested in the
documentation of per {longmemo} to make them correspond.
Now I have found on a variety of examples that there is a shift between
2009 Mar 25
1
intelligent optimizer (with domain restrictions?)
dear R experts---sorry, second question of the day. I want to match some
moments. I am writing my own code---I have exactly as many moment
conditions as parameters, and I am leary of having to learn the magic of
GMM weighting matrices (if I was to introduce more). the process sounds
easy conceptually. (Seen it in seminars many times, so how hard could it
possibly be?...me thinks) first
2004 Apr 14
1
r: arma fitting
hi all
i would like to model an AR model of the following form:
y(t) = a + p*y(t-5) + e(t)
where :
y(t) is the value of y at time t
a is a constant
p is the coefficient of the 5th lagged term
{e} is a normal error series
Any help will be appreciated
Allan
2001 Aug 15
8
Serious GCC/EGCS 2.91 bug found (bites rc2)
Hi folks,
The folks on RedHat who have been complaining of poor-quality encodes
prompted us to track down the trouble, and it's a compiler bug. We
have the asm .s files to prove it :-)
The summary: EGCS (gcc) versions through March 1999, including up to
at least gcc/egcs 2.91.66 have a serious floating point optimization
bug that hits Vorbis. This is a fairly old gcc version, but RedHat
2001 Aug 15
8
Serious GCC/EGCS 2.91 bug found (bites rc2)
Hi folks,
The folks on RedHat who have been complaining of poor-quality encodes
prompted us to track down the trouble, and it's a compiler bug. We
have the asm .s files to prove it :-)
The summary: EGCS (gcc) versions through March 1999, including up to
at least gcc/egcs 2.91.66 have a serious floating point optimization
bug that hits Vorbis. This is a fairly old gcc version, but RedHat
2007 Oct 27
2
Comparing lagged time series
As a newbie to R I have the following question. I would like to compare values in a time series with values of the same series x observations ago. In gretl this is simply done like so:
In R, I seem not to get it working. I have tried lag(data,-x) to obtain the lagged time series which produces the following error message:
Error in attr(x, "tsp") <- c(1, NROW(x), 1) :