search for: arfima

...______________ From: Martin Maechler <maechler at stat.math.ethz.ch> Sent: Monday, June 5, 2023 3:19 PM To: akshay kulkarni <akshay_e4 at hotmail.com> Cc: Martin Maechler <maechler at stat.math.ethz.ch>; R help Mailing list <r-help at r-project.org> Subject: Re: [R] error in arfima... > Dear Martin, > REgrets to reply this late.... > I am staring at a conundrum never before encountered in my experience with R: > LYGH[[201]] > [1] 45.40 3.25 6.50 2.15 > > arfima(LYGH[[201]]) > Error in .fdcov(x, fdf$d, h, nar = nar, nma = nm...

>>>>> akshay kulkarni >>>>> on Wed, 31 May 2023 20:55:33 +0000 writes: > dear members, > I am using arfima() from forecast package to model a time > series. The following is the code: >> LYGH[[202]] > [1] 45.40 3.25 6.50 2.15 >> arfima(LYGH[[202]]) > Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma, hess = hess, fdf.work = fdf$w) : > NA/NaN/Inf in fo...

dear members, I am using arfima() from forecast package to model a time series. The following is the code: > LYGH[[202]] [1] 45.40 3.25 6.50 2.15 > arfima(LYGH[[202]]) Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma, hess = hess, fdf.work = fdf$w) : NA/NaN/Inf in foreign function call (arg 5) I tried viewing .fdcov...

Please I want to perform full data analysis using ARFIMA model but I dont know the right package that can perform all the necessary test on the time series data. ERIC AIDOO [[alternative HTML version deleted]]

Dear members, I am using arfima in an mclapply construction (from the parallel package): Browse[2]> LYG <- mclapply(LYGH, FUN = arfima, mc.cores = detectCores()) ^C Browse[2]> LYG <- mclapply(LYGH[1:10], FUN = arfima, mc.cores = detectCores()) ^C Browse[2]> LYG <- mclapply(LYGH[1:2], FUN = arfima, mc.cores = de...

Dear R users, I'm trying to use the "strucchange" package to determine structural breaks in an ARFIMA model. Unfortunately I'm not so familiar with this topic (and worse, I'm a beginner in R), so I don't know exactly how to specify my model so that the "Fstats","sctest" and "breakpoint" functions to recognize it and to calculate the potentially breakpoints...

I would like to compute the next 15 observations for an ARFIMA(2,1,0) model along with confidence intervals. Can someone provide code? Many thanks. Jill ____________________________________________________________________________________ [[elided Yahoo spam]]

Hello. I'm trying to make k-step-ahead forecasts using ARFIMA(0, d, 0) models by taking the first T+k-1 coefficients in the binomial expansion of (1-B)^d, regarding (1-B)^d x(T+k) as an AR(T+k-1) on x(T+k), where x(T) is the series value at time T and k = 1, 2, 3, . That is, I forecast the series k values forward using the first T+k-1 coefficients in the...

please help.. I have estimate the value of parameter for AR,MA and fractional d.but I have problem on having the right command for forecasting ARFIMA model.please help...... -- View this message in context: http://r.789695.n4.nabble.com/how-to-make-ARFIMA-forecast-by-using-r-tp3869928p3869928.html Sent from the R help mailing list archive at Nabble.com.

Hello all, This is a request for help from somebody who has the Ox interfaces working in R. I am trying to get the Ox interfaces working for Arfima and Garch modelling. However, I am having several problems: 1. The link to download G at rch_v40 does not work. Does anybody have a copy to email to me please? 2. Various guides offer different instructions for installing Ox in the correct place for R to find it. 3. Do the functions work with the...

Hola, ¿hay alguna librería que sirva para modelizar la inflación utilizando un modelo modelo fraccionalmente integrados ARFIMA-STVGARCH? Saludos, Sebastián.

Dear members, I am using pbmcapply to parellise my code. But the following code doesn't work: > LYG <- pbmclapply(LYGH,FUN = arfima,mc.cores = 2,mc.preschedule = FALSE) | | 0%, ETA NA^ It just hangs. But the following works: > LYG <- pbmclapply(LYGH,FUN = arfima,mc.cor...

Hello! I used the function fracdiff(dn, nar=1, nma=1) and got the values of d, ar and ma coefficients. Also another coefficients were get under fdGPH, fdSperio. How could I get the forecasts in these models? Thank you very much [[alternative HTML version deleted]]

...> on behalf of Jeff Newmiller <jdnewmil at dcn.davis.ca.us> Sent: Wednesday, May 17, 2023 5:24 AM To: r-help at r-project.org <r-help at r-project.org> Subject: Re: [R] mclapply enters into an infinite loop.... It does not look to me like you are providing the necessary arguments to arfima. Try making this work with lapply first... then try mclapply. On May 16, 2023 3:10:45 PM PDT, akshay kulkarni <akshay_e4 at hotmail.com> wrote: >Dear members, > I am using arfima in an mclapply construction (from the parallel package): > >Browse[2]> LY...

...ve(tix_ts, h=365)), digits=3) acc.ets <- signif(accuracy(forecast(ets(tix_ts), h=365)), digits=3) acc.etsa <- signif(accuracy(forecast(ets(tix_ts,model="AAZ"), h=365)), digits=3) acc.aarima <- signif(accuracy(forecast(auto.arima(tix_ts, stepwise=FALSE), h=365)), digits=3) acc.arfima <- signif(accuracy(forecast(arfima(tix_ts), h=365)), digits=3) x <- matrix(c(acc.naive,acc.snaive,acc.ets,acc.etsa,acc.aarima,acc.arfima), ncol=6, byrow=TRUE) rownames(x) = c("Naive Model [Arima(0,1,0)]","Naive (Seasonal) Model [Arima(0,0,0)(0,1,0)m]","ETS Model&q...

On Fri, 9 Jun 2023 18:01:44 +0000 akshay kulkarni <akshay_e4 at hotmail.com> wrote: > > LYG <- pbmclapply(LYGH,FUN = arfima,mc.cores = 2,mc.preschedule = > > FALSE) > | > | > 0%, ETA NA^ > > It just hangs. My questions from the last time still stand: 0) What is your sessionInfo()? Maybe you're running a pa...

Hi I want to implement Egarch (1,1) with t distribution model using RExcel and VBA. May I know the syntax. Following is the code that I 'm using. rinterface.RRun "spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))" rinterface.RRun "fit = ugarchfit(Data = b, spec = spec)" rinterface.RRun "output=sigma(fit)" Please let me know the error and it's solution. Thanks Dheeraj [[alternative HTML version deleted]]

...and also say the fpp3 and the fable package automatically back transforms the point forecast. they also discuss the process which I find to be very cumbersome. Is there any R package which automatically back transforms the point forecast when I use xts objects ( RJH and GA use tsibble objects) with arfima/arima in the forecast package? THanking you, Yours sincerely, AKSHAY M KULKARNI [[alternative HTML version deleted]]

Hi, I got some problem running the example of arfimaOxFit. The first three line of the examples I run are: library(Rmetrics) x = armaSim(model = list(ar = c(0.5, - 0.5), d = 0.3, ma = 0.1), n = 500) fit = arfimaOxFit(formula = x ~ arfima(2,1)) The error msg is: Error in eval(expr, envir, enclos) : object "package" not found Did I do somet...

Hi I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value. Following were the commands that I was using: library(rugarch) spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std") fit=ugarchfit(data=b,spec=spec) sigma(fit) May I know the error that I'm making in implementing the model? Any help with the syntax/commands or any useful content will be appreciated? Dheeraj [[alternative HTML version deleted]]