R help - Oct 2008 - Fixing an only one coefficient in an ARIMA model

Good afternoon,

I would like fitting an ARIMA model without the first coefficient.
For example, I want to fit an AR(3) like this : 
y[t]=a[1]*y[t-1]+a[2]*y[t-2]+a[3]*y[t-3], where a[1]=0.
How can I specify it in the function "arima", if it is possible ?

Thank you in advance.
Yohann Moreau
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Hello Yohann,

Try
arima(lh, order=c(3,0,0), fixed=c(0, NA, NA, NA))

The NA entries in "fixed" (for AR2, AR3, and intercept) will be
allowed to
vary.

Kellie Wills
Engineering Service Manager
REvolution Computing
kellie@revolution-computing.com


On Tue, Oct 28, 2008 at 7:10 AM, Yohann MOREAU <yohann.moreau@edf.fr>
wrote:
> Good afternoon,
>
> I would like fitting an ARIMA model without the first coefficient.
> For example, I want to fit an AR(3) like this :
> y[t]=a[1]*y[t-1]+a[2]*y[t-2]+a[3]*y[t-3], where a[1]=0.
> How can I specify it in the function "arima", if it is possible ?
>
> Thank you in advance.
> Yohann Moreau
>        [[alternative HTML version deleted]]
>
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> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>


-- 
Kellie Wills
Engineering Service Manager
REvolution Computing
(206) 577-4778 x3206

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