Hi all,
I want to fit the following model to my data:
Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t
i.e. it is an ARMA(2,2) with some additional regressors X and M.
[Z_t's are the white noise variables]
So, I run the following code:
for (i in 1:rep) { index=sample(4,15,replace=T)
final<-do.call(rbind,lapply(index,function(i)
get(as.character(levels[as.numeric(levels)==i]))))
--------------------------------> this gives me my data set
l=final$l
g=final$g
model=arima0(l,order=c(2,0,2),xreg=g,method=("ML"))
}
I get warnings like:
Call:
arima0(x = l, order = c(2, 0, 2), xreg = g, method = ("ML"))
Coefficients:
ar1 ar2 ma1 ma2 intercept xreg
0.2549 -0.7722 -0.5586 0.3563 3e-04 0
s.e. 0.1072 0.0866 1.6725 0.2221 2e-04 NaN
sigma^2 estimated as 3.921e-06: log likelihood = 311.72, aic = -609.44
Warning message:
In sqrt(diag(x$var.coef)) : NaNs produced
What does this output mean?
How do I get rid of this and do my analysis properly?
Any help is welcome.
Thanks,
Preetam
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year, Room No. N-114
Statistics Division, C.V.Raman
Hall
Indian Statistical Institute, B.H.O.S.
Kolkata.
[[alternative HTML version deleted]]
Jose Iparraguirre
2013-May-02 12:07 UTC
[R] warnings in ARMA with other regressor variables
Preetam,
Have a look at this post:
http://stats.stackexchange.com/questions/26999/auto-arima-warns-nans-produced-on-std-error
Jos?
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of Preetam Pal
Sent: 02 May 2013 12:24
To: r-help at r-project.org
Subject: [R] warnings in ARMA with other regressor variables
Hi all,
I want to fit the following model to my data:
Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t
i.e. it is an ARMA(2,2) with some additional regressors X and M.
[Z_t's are the white noise variables]
So, I run the following code:
for (i in 1:rep) { index=sample(4,15,replace=T)
final<-do.call(rbind,lapply(index,function(i)
get(as.character(levels[as.numeric(levels)==i]))))
--------------------------------> this gives me my data set
l=final$l
g=final$g
model=arima0(l,order=c(2,0,2),xreg=g,method=("ML"))
}
I get warnings like:
Call:
arima0(x = l, order = c(2, 0, 2), xreg = g, method = ("ML"))
Coefficients:
ar1 ar2 ma1 ma2 intercept xreg
0.2549 -0.7722 -0.5586 0.3563 3e-04 0
s.e. 0.1072 0.0866 1.6725 0.2221 2e-04 NaN
sigma^2 estimated as 3.921e-06: log likelihood = 311.72, aic = -609.44
Warning message:
In sqrt(diag(x$var.coef)) : NaNs produced
What does this output mean?
How do I get rid of this and do my analysis properly?
Any help is welcome.
Thanks,
Preetam
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year, Room No. N-114
Statistics Division, C.V.Raman
Hall
Indian Statistical Institute, B.H.O.S.
Kolkata.
[[alternative HTML version deleted]]
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