Dear all,
The standard call to ARIMA in the base package such as
arima(y,c(5,0,0),include.mean=FALSE)
gives a full 5th order lag polynomial model with for example coeffs
Coefficients:
ar1 ar2 ar3 ar4 ar5
0.4715 0.067 -0.1772 0.0256 -0.2550
s.e. 0.1421 0.158 0.1569 0.1602 0.1469
Is it possible (I doubt it but am just checking) to define a more
parsimonous lag1 and lag 5 model with coeff ar1 and ar5?
Or do I need one of the other TS packages?
thanks
Gerard
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Gerard M. Keogh wrote:> > Dear all, > > The standard call to ARIMA in the base package such as > > arima(y,c(5,0,0),include.mean=FALSE) > > gives a full 5th order lag polynomial model with for example coeffs > > Coefficients: > ar1 ar2 ar3 ar4 ar5 > 0.4715 0.067 -0.1772 0.0256 -0.2550 > s.e. 0.1421 0.158 0.1569 0.1602 0.1469 > > > Is it possible (I doubt it but am just checking) to define a more > parsimonous lag1 and lag 5 model with coeff ar1 and ar5? > Or do I need one of the other TS packages?You can specify the "fixed" argument (with transform.pars=FALSE): > arima(x, c(5, 0, 0), fixed=c(NA, 0, 0, 0, NA), include.mean=FALSE, transform.pars=FALSE) Call: arima(x = x, order = c(5, 0, 0), include.mean = FALSE, transform.pars = FALSE, fixed = c(NA, 0, 0, 0, NA)) Coefficients: ar1 ar2 ar3 ar4 ar5 -0.0483 0 0 0 0.1355 s.e. 0.1010 0 0 0 0.1031 -- Gad Abraham Dept. CSSE and NICTA The University of Melbourne Parkville 3010, Victoria, Australia email: gabraham at csse.unimelb.edu.au web: http://www.csse.unimelb.edu.au/~gabraham