[R] arima: warning when fixing MA parameters.

John Maindonald
2005-10-13T07:10:00Z

I am puzzled by the warning message in the output below.  It appears
whether or not I fit the seasonal term (but the precise point of doing
this was to fit what is effectively a second seasonal term).  Is there
some deep reason why AR parameters
("Warning message: some AR parameters were fixed: ...")
should somehow intrude into the fitting of a model that has only MA
terms?

 > library(DAAG)
 > attach(bomsoi)
 > # The following is fine:
 > arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12),
+  fixed=c(NA,0,0,NA,NA,NA))
.....
 > # The following generates a warning message
 > arima(avrain, order=c(0,0,4), seasonal=list(order=c(0,0,1),
period=12),
+  fixed=c(0,0,0,NA,NA,NA))

Call:
arima(x = avrain, order = c(0, 0, 4), seasonal = list(order = c(0, 0,
1), period = 12),
     fixed = c(0, 0, 0, NA, NA, NA))

Coefficients:
       ma1  ma2  ma3     ma4     sma1  intercept
         0    0    0  0.0357  -0.1061   456.6675
s.e.    0    0    0  0.1015   0.0886     7.6997

sigma^2 estimated as 6849:  log likelihood = -595.23,  aic = 1198.46
Warning message:
some AR parameters were fixed: setting transform.pars = FALSE in:
arima(avrain, order = c(0, 0, 4), seasonal = list(order = c(0,


John Maindonald             email: john.maindonald at anu.edu.au
phone : +61 2 (6125)3473    fax  : +61 2(6125)5549
Centre for Bioinformation Science, Room 1194,
John Dedman Mathematical Sciences Building (Building 27)
Australian National University, Canberra ACT 0200.