[R] AR1 model using ARIMA

Duncan Murdoch
Tue, 14 Jun 2016 12:50:25 -0000

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.
>
>
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>