R help - Feb 2013 - assign estimated values

Hi,
I want to assign the ar1 , ma 1 and the intercept estimated by the
following<http://r.789695.n4.nabble.com/assign-estimated-values-td4658138.html#>code
to three variables a, b and c respectively.

Can anyone help me with this please?

code:

a0 = 0.05; a1 = 0.1; b1 = 0.85
nu = rnorm(2500)
epsi = rep(0, 2500)
h = rep(0, 2500)
for (i in 2: 2500) { h[i] = a0 + a1 * epsi[i-1]^2 + b1 * h[i-1]  ; epsi[i]
= nu[i] * sqrt(h[i])}
epsi = epsi[1501:2500]
epsi=epsi*epsi
arma(epsi,order=c(1,1))

-- 
*Malaka Thilakaratne
Department of Mathematics and Statistics
Missouri University of Science and Technology
Rolla
MO 65401
USA*

	[[alternative HTML version deleted]]

malaka wrote
> Hi,
> I want to assign the ar1 , ma 1 and the intercept estimated by the
> following code to three variables a, b and c respectively.
> 
> Can anyone help me with this please?
> 
> code:
> 
> a0 = 0.05; a1 = 0.1; b1 = 0.85
> nu = rnorm(2500)
> epsi = rep(0, 2500)
> h = rep(0, 2500)
> for (i in 2: 2500) { h[i] = a0 + a1 * epsi[i-1]^2 + b1 * h[i-1]  ; epsi[i]
> = nu[i] * sqrt(h[i])}
> epsi = epsi[1501:2500]
> epsi=epsi*epsi
> arma(epsi,order=c(1,1))
You haven't specified a library for the arma function. Your code doesn't
work for me in the form you posted it.

However, changing ...

arma(epsi, order=c(1,1)) to 

mod = arima(epsi, order=c(1,0,1))

You can extract the parameters of interest using 

a= mod$coef["ar1"] 
b= mod$coef["ma1"]
c= mod$coef["intercept"]

HTH

Pete



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