Luis Felipe Parra
2011-Sep-09 21:43 UTC
[R] Different results with arima in R 2.12.2 and R 2.11.1
Hello , I have estimated the following model, a sarima:
p=9
d=1
q=2
P=0
D=1
Q=1
S=12
In R 2.12.2
Call:
arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
period = S),
optim.control = list(reltol = tol))
Coefficients:
ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8
ar9
0.3152 0.8762 -0.4413 0.0152 0.1500 0.0001 -0.0413 -0.1811
0.0646
s.e. 0.0865 0.0885 0.1141 0.1181 0.1196 0.1220 0.1120 0.0908
0.0865
ma1 ma2 sma1
-0.0221 -0.9779 -0.7635
s.e. 0.0539 0.0534 0.0834
sigma^2 estimated as 1.965e+17: log likelihood = -3316.07, aic = 6658.13
and in In R 2.11.1
Call:
arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
period = S),
optim.control = list(reltol = tol))
Coefficients:
ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8
ar9
0.3152 0.8761 -0.4413 0.0153 0.1500 0.000 -0.0413 -0.1810
0.0646
s.e. 0.0865 0.0885 0.1141 0.1181 0.1196 0.122 0.1120 0.0908
0.0865
ma1 ma2 sma1
-0.0221 -0.9779 -0.7635
s.e. 0.0539 0.0534 0.0834
sigma^2 estimated as 1.965e+17: log likelihood = -3316.07, aic = 6658.13
and as you can see in the results some coefficients (for example ar2 and
ar8) are different in the different R versions. does anybody know what might
be going on. Was there any change in the arima function between the two
versions?
Thank you
Felipe Parra
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Stephen Sefick
2011-Sep-09 23:54 UTC
[R] Different results with arima in R 2.12.2 and R 2.11.1
Those are not "very" different. I would suspect they are within computer rounding error. Only numbers of log2 can be represented exactly, could that be it? Did you compiled the two versions differently, or could something have changed between 2.11.1 to 2.12.2 - both of which are old versions of R? If you provide a reproducible example I will gladly run it to compare your results with 2.13.1. Maybe somebody else will have a more helpful response. FWIW, Stephen Sefick On 09/09/2011 04:43 PM, Luis Felipe Parra wrote:> Hello , I have estimated the following model, a sarima: > > p=9 > d=1 > q=2 > P=0 > D=1 > Q=1 > S=12 > > > In R 2.12.2 > Call: > arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q), > period = S), > optim.control = list(reltol = tol)) > > Coefficients: > ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8 > ar9 > 0.3152 0.8762 -0.4413 0.0152 0.1500 0.0001 -0.0413 -0.1811 > 0.0646 > s.e. 0.0865 0.0885 0.1141 0.1181 0.1196 0.1220 0.1120 0.0908 > 0.0865 > ma1 ma2 sma1 > -0.0221 -0.9779 -0.7635 > s.e. 0.0539 0.0534 0.0834 > > sigma^2 estimated as 1.965e+17: log likelihood = -3316.07, aic = 6658.13 > > > and in In R 2.11.1 > Call: > arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q), > period = S), > optim.control = list(reltol = tol)) > > Coefficients: > ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8 > ar9 > 0.3152 0.8761 -0.4413 0.0153 0.1500 0.000 -0.0413 -0.1810 > 0.0646 > s.e. 0.0865 0.0885 0.1141 0.1181 0.1196 0.122 0.1120 0.0908 > 0.0865 > ma1 ma2 sma1 > -0.0221 -0.9779 -0.7635 > s.e. 0.0539 0.0534 0.0834 > > sigma^2 estimated as 1.965e+17: log likelihood = -3316.07, aic = 6658.13 > > and as you can see in the results some coefficients (for example ar2 and > ar8) are different in the different R versions. does anybody know what might > be going on. Was there any change in the arima function between the two > versions? > > Thank you > > Felipe Parra > > > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.[[alternative HTML version deleted]]
Uwe Ligges
2011-Sep-10 09:15 UTC
[R] Different results with arima in R 2.12.2 and R 2.11.1
On 10.09.2011 01:54, Stephen Sefick wrote:> Those are not "very" different. I would suspect they are within > computer rounding error. Only numbers of log2 can be represented > exactly, could that be it? Did you compiled the two versions > differently, or could something have changed between 2.11.1 to 2.12.2 - > both of which are old versions of R? If you provide a reproducible > example I will gladly run it to compare your results with 2.13.1. Maybe > somebody else will have a more helpful response.No, you are so right: We do not no OS, architecture, 32 vs 64-bit, BLAS in use, compiler differences etc. on that machine, and minor numerical differences can be caused by anything. Uwe Ligges> FWIW, > > Stephen Sefick > > On 09/09/2011 04:43 PM, Luis Felipe Parra wrote: >> Hello , I have estimated the following model, a sarima: >> >> p=9 >> d=1 >> q=2 >> P=0 >> D=1 >> Q=1 >> S=12 >> >> >> In R 2.12.2 >> Call: >> arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q), >> period = S), >> optim.control = list(reltol = tol)) >> >> Coefficients: >> ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8 >> ar9 >> 0.3152 0.8762 -0.4413 0.0152 0.1500 0.0001 -0.0413 -0.1811 >> 0.0646 >> s.e. 0.0865 0.0885 0.1141 0.1181 0.1196 0.1220 0.1120 0.0908 >> 0.0865 >> ma1 ma2 sma1 >> -0.0221 -0.9779 -0.7635 >> s.e. 0.0539 0.0534 0.0834 >> >> sigma^2 estimated as 1.965e+17: log likelihood = -3316.07, aic = 6658.13 >> >> >> and in In R 2.11.1 >> Call: >> arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q), >> period = S), >> optim.control = list(reltol = tol)) >> >> Coefficients: >> ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8 >> ar9 >> 0.3152 0.8761 -0.4413 0.0153 0.1500 0.000 -0.0413 -0.1810 >> 0.0646 >> s.e. 0.0865 0.0885 0.1141 0.1181 0.1196 0.122 0.1120 0.0908 >> 0.0865 >> ma1 ma2 sma1 >> -0.0221 -0.9779 -0.7635 >> s.e. 0.0539 0.0534 0.0834 >> >> sigma^2 estimated as 1.965e+17: log likelihood = -3316.07, aic = 6658.13 >> >> and as you can see in the results some coefficients (for example ar2 and >> ar8) are different in the different R versions. does anybody know what might >> be going on. Was there any change in the arima function between the two >> versions? >> >> Thank you >> >> Felipe Parra >> >> >> >> ______________________________________________ >> R-help at r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.