R help - Jan 2021 - arima/fixed

Dear all,

I have the following problem with determining the argument fixed in arima
function. What is the length  of argument fixed for an ARIMA(1,0,0)(0,1,1) and
what is the correct  order for the parameters ?

	[[alternative HTML version deleted]]

On Fri, 29 Jan 2021 12:47:25 +0000
Nasia Petsa <petsa.athanasia at hotmail.gr> wrote:
> Dear all,
> 
> I have the following problem with determining the argument fixed in
> arima function. What is the length  of argument fixed for an
> ARIMA(1,0,0)(0,1,1) and what is the correct  order for the parameters
Hmm.  The help is indeed pretty opaque, isn't it?  I tried
the following:

set.seed(42)
x <- rnorm(300)
f1 <- arima(x,order=c(1,0,0),seasonal=list(order=c(0,1,1),period=6))
coef(f1) # Which gave:
>        ar1       sma1 
> -0.0169276 -0.9999999 
f2 <- arima(x,order=c(1,0,0),seasonal=list(order=c(0,1,1),period=6),
            fixed=c(-0.5,NA),transform.pars=FALSE)
coef(f2) # Which gave:
> ar1 sma1 
> -0.5 -1.0 
So this looks like it's doing the right thing .... ???

Printing f2 indicates that the standard error of "ar1" is 0, which
makes sense since it's fixed.

I hope this helps.  Perhaps someone who actually knows what they are
talking about will chime in.

cheers,

Rolf Turner

-- 
Honorary Research Fellow
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276