search for: allowdrift

...time-series into 6-7 groups and apply the same auto-regressive model.(Essentially want a best fit auto-regressive model for each of the groups). For a single time-series if I apply: fit<-auto.arima(<series1>,d=NA,D=0,max.p=6,max.q=0,max.order=6,stationary=F,ic=c("aic"),trace=T,allowdrift=F) will the differencing be done internally and the final coefficients for the AR parameters be outputted by the coef(fit) function? Or do I have to make the series stationary before I apply the auto.arima function? I.e if finally my result is something like Coefficients: ar1 ar2 i...

Hi, I've got a little problem using auto.arima. I run the following command auto.arima(drivers,ic="aic",d=1,D=1,max.order=10,max.p=5,max.q=5,max.P=5,max.Q=5,stepwise=FALSE,allowdrift=FALSE) and I get the following output : Series: drivers ARIMA(0,1,1)(5,1,1)[12] Coefficients: ma1 sar1 sar2 sar3 sar4 sar5 sma1 -0.6421 -0.1341 -0.2063 -0.1076 -0.2361 -0.2205 -0.7387 s.e. 0.0718 0.1273 0.1061 0.1063 0....

...cnica oscila entre 0-1 y pretendemos una vez estimada la eficiencia aplicar un modelo ARIMA. Hemos estimado con el comando auto.arima con y sin drift y nos muestra estos resultados el gráfico que te adjunto. Series: Eficiencia ARIMA(1,1,1) Call: auto.arima(x = Eficiencia, allowdrift = TRUE) Coefficients: ar1 ma1 0.7720 -0.9644 s.e. 0.0813 0.0363 sigma^2 estimated as 0.0001375: log likelihood = 287.15 AIC = -568.31 AICc = -568.04 BIC = -560.65 Antes te trabajar con R comence con statgraphics (es muy elemental, pero tiene una ayuda que te ind...