Hi dear sirs,
I am wondering why the fit of the time serie x with an arima and the fit of
diff(x) with an arma (same coeff p & d) differ one from another
here are the output of R:
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%> modelarma<-arma(diff(x),c(7,5))
> modelarma
Call:
arma(x = diff(x), order = c(7, 5))
Coefficient(s):
ar1 ar2 ar3 ar4 ar5 ar6 ar7 ma1 ma2
0.06078 -0.44774 0.41881 0.47624 0.01406 0.06565 -0.06167 -0.01294 0.31313
ma3 ma4 ma5 intercept
-0.49027 -0.55461 -0.11520 -0.10692 > modelarima<-arima(x,c(7,1,5))
> modelarima
Call:
arima(x = x, order = c(7, 1, 5))
Coefficients:
ar1 ar2 ar3 ar4 ar5 ar6 ar7 ma1 ma2 ma3 ma4
0.1244 -0.1149 -0.2283 0.5209 0.4135 -0.0072 0.0263 -0.087 0.0038 0.1868
-0.5477
s.e. NaN NaN 0.0696 0.1554 NaN NaN NaN NaN NaN 0.1079 0.1369
ma5
-0.5179
s.e. NaN
sigma^2 estimated as 149417: log likelihood = -129578.0, aic = 259181.9
Warning message:
NaNs produced in: sqrt(diag(x$var.coef))
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
What method between the two should be considered the best one?
Thanks for your help
Vincent
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