Y S

2017-Jun-20 05:21 UTC

### [R] How to write an estimated seasonal ARIMA model from R output?

I'm trying to use the following command. arima (x, order = c(p,d,q), seasonal =list(order=c(P,D,Q), period=s) How can I write an estimated seasonal ARIMA model from the outputs. To be specifically, which sign to use? I know R uses a different signs from S plus. Is it correct that the model is: (1-ar1*B-ar2*B^2-...)(1-sar1*B^s-sar2*B^2s-....)(1-B)^d(1-B^s)^D X_t=(1+ma1*B+ma2*B^2+...)(1+sma1*B^s+sma2*B^2s+....) a_t For example:> m1=arima(koeps,order=c(0,1,1),seasonal=list(order=c(0,1,1),period=4)) > m1Call: arima(x = koeps, order = c(0, 1, 1), seasonal = list(order = c(0, 1, 1), period = 4)) Coefficients: ma1 sma1 -0.4096 -0.8203 s.e. 0.0866 0.0743 Should the estimated model be written as: (1-B)(1-B^4) X_t=(1-0.4096B)(1-0.8203B^4) a_t or (1-B)(1-B^4) X_t=(1+0.4096B)(1+0.8203B^4) a_t Thanks! [[alternative HTML version deleted]]

Rolf Turner

2017-Jun-21 00:36 UTC

### [R] [FORGED] How to write an estimated seasonal ARIMA model from R output?

On 20/06/17 17:21, Y S wrote:> I'm trying to use the following command. > arima (x, order = c(p,d,q), seasonal =list(order=c(P,D,Q), period=s) > > How can I write an estimated seasonal ARIMA model from the outputs. To be specifically, which sign to use? I know R uses a different signs from S plus. > > Is it correct that the model is: > (1-ar1*B-ar2*B^2-...)(1-sar1*B^s-sar2*B^2s-....)(1-B)^d(1-B^s)^D X_t=(1+ma1*B+ma2*B^2+...)(1+sma1*B^s+sma2*B^2s+....) a_t > > For example: >> m1=arima(koeps,order=c(0,1,1),seasonal=list(order=c(0,1,1),period=4)) >> m1 > Call: > arima(x = koeps, order = c(0, 1, 1), seasonal = list(order = c(0, 1, 1), period = 4)) > Coefficients: > ma1 sma1 > -0.4096 -0.8203 > s.e. 0.0866 0.0743 > > Should the estimated model be written as: > (1-B)(1-B^4) X_t=(1-0.4096B)(1-0.8203B^4) a_t > or (1-B)(1-B^4) X_t=(1+0.4096B)(1+0.8203B^4) a_t > > Thanks!Please do not post in html, although this doesn't seem to have messed things up too badly in this instance. The help for arima() says:> The definition used here has > > X[t] = a[1]X[t-1] + ? + a[p]X[t-p] + e[t] + b[1]e[t-1] + ? + b[q]e[t-q]so your first possibility, i.e. (1-B)(1-B^4) X_t=(1-0.4096B)(1-0.8203B^4) a_t is the correct one. This stuff *does* get confusing; parity errors keep creeping in! cheers, Rolf Turner -- Technical Editor ANZJS Department of Statistics University of Auckland Phone: +64-9-373-7599 ext. 88276