hi i want to fit a rather large model (p=12) with arima0. some of the resulting AR parameters are very small, in the order of their standard errors so i would like to force them to 0. how can i do this? bye fabian -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
On 6 Dec 2001, Fabian Moerchen wrote:> hi > > i want to fit a rather large model (p=12) with arima0. > some of the resulting AR parameters are very small, > in the order of their standard errors so i would like > to force them to 0. > > how can i do this?By modifying the code. This is something planned for arima(), and that is planned for 1.5.0. -- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
On Fri, 2001-12-07 at 07:41, Prof Brian D Ripley wrote:> On 6 Dec 2001, Fabian Moerchen wrote: > > > hi > > > > i want to fit a rather large model (p=12) with arima0. > > some of the resulting AR parameters are very small, > > in the order of their standard errors so i would like > > to force them to 0. > > > > how can i do this? > > By modifying the code.too bad. but if i simplify the model so P and Q for the "in between year" model are 0, then i could use manual differencing (D) and then the arma method with the lag= option, right? bye fabian> > This is something planned for arima(), and that is planned for 1.5.0. > > > -- > Brian D. Ripley, ripley at stats.ox.ac.uk > Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ > University of Oxford, Tel: +44 1865 272861 (self) > 1 South Parks Road, +44 1865 272860 (secr) > Oxford OX1 3TG, UK Fax: +44 1865 272595 > > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- > r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html > Send "info", "help", or "[un]subscribe" > (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch > _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._ >-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
> Date: 06 Dec 2001 22:12:25 +0100 > From: Fabian Moerchen <fabian at mybytes.de> > Subject: [R] constrained arima0 model > > hi > > i want to fit a rather large model (p=12) with arima0. > some of the resulting AR parameters are very small, > in the order of their standard errors so i would like > to force them to 0. > > how can i do this? > > bye > fabian >You can use arma from the tseries package to do this: run the command example(arma) and see the second example best Adrian -- Dr. Adrian Trapletti Phone: +41 (0)1 994 56 31 Wildsbergstrasse 31 Fax : +41 (0)1 994 56 33 CH-8610 Uster Email: a.trapletti at bluewin.ch Switzerland WWW : trapletti.homeip.net -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._