R help - Jun 2013 - Apply a Seasonal ARMA process

Dear R users,
I have a seasonal time series of period 4 (my_ts).
I would like to apply to my_ts a Seasonal ARMA(2,0) process (only the seasonal
part), with Seasonal AR coefficients respectively 0.54 and 0.5.
I tried to use the arima command from the stats package, but this code is not
correct:

arima(my_ts, order=c(0,0,0), seasonal=list(order=c(2,0,0), sar=c(0.54, 0.5),
period=4), n=220)

The error is:
"Error in optim(init[mask], armaCSS, method = optim.method, hessian =
FALSE: initial value in 'vmmin' not finite".

I am not even sure of the syntax about sar=c(0.54, 0.5).
I looked for this topic in the R archive, but I have not been able to find an
example or a useful hint.
Could you please help me? Does arima handle seasonal ARMA processes? If yes,
how? Is there a better specific package for that?

Thank you for your help
Stefano Sofia


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On 22/06/13 01:48, Stefano Sofia wrote:
> Dear R users,
> I have a seasonal time series of period 4 (my_ts).
> I would like to apply to my_ts a Seasonal ARMA(2,0) process (only the
seasonal part), with Seasonal AR coefficients respectively 0.54 and 0.5.
> I tried to use the arima command from the stats package, but this code is
not correct:
>
> arima(my_ts, order=c(0,0,0), seasonal=list(order=c(2,0,0), sar=c(0.54,
0.5), period=4), n=220)
>
> The error is:
> "Error in optim(init[mask], armaCSS, method = optim.method, hessian =
FALSE: initial value in 'vmmin' not finite".
>
> I am not even sure of the syntax about sar=c(0.54, 0.5).
> I looked for this topic in the R archive, but I have not been able to find
an example or a useful hint.
> Could you please help me? Does arima handle seasonal ARMA processes? If
yes, how? Is there a better specific package for that?
I am not at all sure what you are trying to do, but I'm pretty sure that 
whatever
it is, arima() is *not* the appropriate tool.  The arima() function is 
used to *fit*
models to time series.  E.g. in your context to *estimate* the 
coefficients of your
seasonal model.  Here you appear to *know* the values of these coefficients
(they are 0.54 and 0.5) so whatever you are trying to do it would seem that
you are not trying to estimate anything.

Perhaps you want to *filter* your time series through a seasonal AR(2) 
filter
with coefficients 0.54 and 0.5?  In this case the function filter() 
might help you.
You might also consider using arima.sim() with argument "innov" equal
to
your
given time series (which you call --- ugh!!! --- "my_ts", using that 
abominable
Micro$oft originating "my this", "my that" convention).

Where on earth did you get that "sar= ..." syntax (of which you quite 
understandably
say you are "unsure") anyhow?  The arima() function has no such
argument.

         cheers,

             Rolf Turner

Hello,

You have three parameters, two sar and one intercept.

arima(x, order=c(0,0,0), seasonal=list(order=c(2,0,0), period=4),
	transform.pars = FALSE, fixed = c(0.54, 0.5, rep(NA, 1)))


I also believe that the answer you got from Rolf is more to the point.
Try something along the lines he suggested.

Hope this helps,

Rui Barradas

Em 24-06-2013 10:34, Stefano Sofia escreveu:
> Thank you for your tips.
>
> I tried the code that you suggested, but there is a problem with the length
of fixed.
> In the help page it is specified that the length of fixed must be total
number of parameters.
> But in case of a Seasonal AR(2) model, which is the number of the
parameters? I tried with length 4, 6, 8 but there always is the same error.
> And moreover, which is the order of its elements.
> Have you got some final hints about it?
>
> Thank you for your help
>
> Best regards,
>
> Stefano Sofia
>
> ________________________________________
> Da: Rui Barradas [ruipbarradas at sapo.pt]
> Inviato: venerd? 21 giugno 2013 16.37
> A: Stefano Sofia
> Oggetto: Re: [R] Apply a Seasonal ARMA process
>
> Hello,
>
> I think the correct way would be
>
> arima(my_ts, order=c(0,0,0), seasonal=list(order=c(2,0,0), period=4),
> transform.pars = FALSE, fixed = c(0.54, 0.5))
>
> Take a look at the help page for ?arima. You will see the description of
> argument 'fixed'. You will also see that 'n' is not an
argument.
>
> Hope this helps,
>
> Rui Barradas
>
> Em 21-06-2013 14:48, Stefano Sofia escreveu:
>> Dear R users,
>> I have a seasonal time series of period 4 (my_ts).
>> I would like to apply to my_ts a Seasonal ARMA(2,0) process (only the
seasonal part), with Seasonal AR coefficients respectively 0.54 and 0.5.
>> I tried to use the arima command from the stats package, but this code
is not correct:
>>
>> arima(my_ts, order=c(0,0,0), seasonal=list(order=c(2,0,0), sar=c(0.54,
0.5), period=4), n=220)
>>
>> The error is:
>> "Error in optim(init[mask], armaCSS, method = optim.method,
hessian = FALSE: initial value in 'vmmin' not finite".
>>
>> I am not even sure of the syntax about sar=c(0.54, 0.5).
>> I looked for this topic in the R archive, but I have not been able to
find an example or a useful hint.
>> Could you please help me? Does arima handle seasonal ARMA processes? If
yes, how? Is there a better specific package for that?
>>
>> Thank you for your help
>> Stefano Sofia
>>
>>
>> ________________________________
>>
>> AVVISO IMPORTANTE: Questo messaggio di posta elettronica pu? contenere
informazioni confidenziali, pertanto ? destinato solo a persone autorizzate alla
ricezione. I messaggi di posta elettronica per i client di Regione Marche
possono contenere informazioni confidenziali e con privilegi legali. Se non si ?
il destinatario specificato, non leggere, copiare, inoltrare o archiviare questo
messaggio. Se si ? ricevuto questo messaggio per errore, inoltrarlo al mittente
ed eliminarlo completamente dal sistema del proprio computer. Ai sensi
dell'art. 6 della DGR n. 1394/2008 si segnala che, in caso di necessit? ed
urgenza, la risposta al presente messaggio di posta elettronica pu? essere
visionata da persone estranee al destinatario.
>> IMPORTANT NOTICE: This e-mail message is intended to be received only
by persons entitled to receive the confidential information it may contain.
E-mail messages to clients of Regione Marche may contain information that is
confidential and legally privileged. Please do not read, copy, forward, or store
this message unless you are an intended recipient of it. If you have received
this message in error, please forward it to the sender and delete it completely
from your computer system.
>>
>>        [[alternative HTML version deleted]]
>>
>>
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
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>> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>
> ________________________________
>
> AVVISO IMPORTANTE: Questo messaggio di posta elettronica pu? contenere
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6 della DGR n. 1394/2008 si segnala che, in caso di necessit? ed urgenza, la
risposta al presente messaggio di posta elettronica pu? essere visionata da
persone estranee al destinatario.
> IMPORTANT NOTICE: This e-mail message is intended to be received only by
persons entitled to receive the confidential information it may contain. E-mail
messages to clients of Regione Marche may contain information that is
confidential and legally privileged. Please do not read, copy, forward, or store
this message unless you are an intended recipient of it. If you have received
this message in error, please forward it to the sender and delete it completely
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>