[R] AR1 model using ARIMA

T.Riedle
Tue, 14 Jun 2016 11:46:16 -0000

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.