Dear R users, I am trying to run a rolling window AR1 model by combining the rollapply() with the arima() function. Hence, my code looks as follows: rollingarma<-rollapply(data,width=36,function(data) coef(arima(data,order=c(1,0,0)))) Error in arima(data, order = c(1, 0, 0)) : non-stationary AR part from CSS However, what is wrong with my code? Can I use the arma() function as alternative? In this case the code is rollingarma<-rollapply(data,width=36,function(data) coef(arma(data,order=c(1,0),include.intercept = FALSE))) There were 50 or more warnings (use warnings() to see the first 50)> warnings()Warning messages: 1: In optim(coef, err, gr = NULL, hessian = TRUE, ...) : one-dimensional optimization by Nelder-Mead is unreliable: use "Brent" or optimize() directly In this case, I get a warning message. How can I use Brent or optimize in this code? Thanks for your support. [[alternative HTML version deleted]]
Dear R users, I have not received any help regarding my problem. The rolling window AR1 model returns an error if I run my code as follows: rollingarma<-rollapply(data,width=36,function(data) coef(arima(data,order=c(1,0,0)))) Error in arima(data, order = c(1, 0, 0)) : non-stationary AR part from CSS However, what is wrong with my code? Can I use the arma() function as alternative? In this case the code is rollingarma<-rollapply(data,width=36,function(data) coef(arma(data,order=c(1,0),include.intercept = FALSE))) There were 50 or more warnings (use warnings() to see the first 50)> warnings()Warning messages: 1: In optim(coef, err, gr = NULL, hessian = TRUE, ...) : one-dimensional optimization by Nelder-Mead is unreliable: use "Brent" or optimize() directly In this case, I get a warning message. How can I use Brent or optimize in this code? Thanks for your support.
On 14/06/2016 7:46 AM, T.Riedle wrote:> > Dear R users, > I have not received any help regarding my problem.Please read the posting guide (see the link at the bottom of every message). If you don't post reproducible code, it's much harder to help you. Duncan Murdoch The rolling window AR1 model returns an error if I run my code as follows:> > rollingarma<-rollapply(data,width=36,function(data) coef(arima(data,order=c(1,0,0)))) > Error in arima(data, order = c(1, 0, 0)) : > non-stationary AR part from CSS > > However, what is wrong with my code? > > Can I use the arma() function as alternative? In this case the code is > > > rollingarma<-rollapply(data,width=36,function(data) coef(arma(data,order=c(1,0),include.intercept = FALSE))) > > There were 50 or more warnings (use warnings() to see the first 50) > >> warnings() > > Warning messages: > > 1: In optim(coef, err, gr = NULL, hessian = TRUE, ...) : > > one-dimensional optimization by Nelder-Mead is unreliable: > > use "Brent" or optimize() directly > > In this case, I get a warning message. How can I use Brent or optimize in this code? > > Thanks for your support. > > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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. >