search for: arima0

Hi, I'm trying to go through the examples for function arima0() in ts package, i.e, >data(lh) >arima0(lh, order = c(1,0,0)) each time the call to arima0() causes a segmentation fault. I checked the earlier version (1.1.1) of R, the function arima0 works fine. Tracing the call indicates that the function "setup_starma" (in pacf.c under ts) in...

Dear all, this may be a stupid question but... The underlying model in procedure arima0 is X[t] = a[1]X[t-1] + ... + a[p]X[t-p] + e[t] + b[1]e[t-1] + ... +b[q]e[t-q] Is it possible to get an estimate of e for every point t, t-1 etc. or at least an estimate of the variance of e? Thanks a lot in advance for any hints Kai Arzheimer -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-....

What is the difference between arima and arima0?

Dear R People: I'm trying to use the predict command on an arima0 object. I do the following: xm.arma <- arima0(xm2,order=c(1,0,1)) predict(xm.arma,n.ahead=2) and I get the message: Error in round(x, digits) : Non-numeric argument to mathematical function Any ideas what the problem might be, please? R version 1 4 1 on Windows. Thanks in advance! Sincer...

[accidentally sent to owner-r-help -- please do NOT! it's "r-help" !] ------- start of forwarded message ------- From: Marcos_Sanches at gallup.com To: owner-r-help at stat.math.ethz.ch Subject: How to get residuasl with arima0? Date: Wed, 19 Sep 2001 15:19:07 -0300 I know this is a basic question, but I've never used the 'ts' package and I'm having some problem with it. If I type, for example: >fit1<-arima0(x , ...) >resid(fit1) the answer is 'NULL'. What is wrong? How to obtain resid...

...rk on order estimation for autoregressive processes and after some inconsistencies cropped up I implemented the AIC criterion myself. Its results do not match the implementation in R and there are a few things I can not understand even after reading the source code of R. I used the function called arima0 (with empty "ma" coeficient vector), and I do not understand how some of the results are calculated: 1. resid If we denote the estimated order of a time series by k, how does the function calculate the first k elements of the residual vector? The rest of the elements match my version, b...

Full_Name: Arto Luoma Version: 1.1.0 OS: Windows 98 Submission from: (NULL) (153.1.53.119) In arima0 it is possible to specify whether the mean of the original series is included in the model or not. However, it is not possible to specify whether the mean of the differenced series is included. It seems that it is not included. However, if differencing is used to eliminate trend, the mean of the di...

Here is the summary on predict when using an arima0 object: The arima0 object must be based on a time series vector. That is; x <- ts(xm1, frequency=12, start=c(1975,1)) x.ar <- arima0(x,order=c(1,1,1)) predict(x.ar,n.ahead=3) Thanks so much to Prof. Brian Ripley and David Brahm and other! Sincerely, Erin Hodgess -.-.-.-.-.-.-.-.-.-.-.-.-....

Dear R People: Suppose I want to estimate the parameters of the following AR model: (1 - phi_1 B - phi_2 B^2 - phi_9 B^9) x_t = a_t and I want to use the arima0 command from the ts library. How would I use the order subcommand, please? R Version 1.4.1 for Windows. Thanks! Sincerely, Erin Hodgess Associate Professor Department of Computer and Mathematical Sciences University of Houston - Downtown 1 Main Street Houston, TX 77002 mailto: hodgess at uhdd...

Full_Name: Ahmad Abu Hammour Version: rw0651 OS: windows 95 Submission from: (NULL) (63.23.128.44) Although I know that "ts package" is preliminary, I wanted to compare the results from R and SPSS. I ran ARIMA(2,1,2) in both softwares. I got NaN in standard errors of coefficients from R and real figures from SPSS. I changed "delta" in R to match that used by SPSS, I received

I did a regression with ARMA errors using arima0 with ari<-arima0(y,order=c(2,0,2),xreg=reg1,delta=-1) or ari<-arima0(y,order=c(2,0,2),xreg=reg1) where reg1 is the matrix of the regressors and when I see diag(ari$var.coef) I get negative terms. Do you know what this mean ? I try to change transform.pars to 0 or 1 but this crash R on...

does the arima/arima0 function use the state space form of the model equation even when fitting with the "CSS"-method? regards Christoph [[alternative HTML version deleted]]

Hi again With arima0 the problem was solved but what are the diferences between arima and arima0? I have another question. I fit the model to the data and I make some predictions. But I also want to calculate MAPE based in the last 3 observations available. Is it possible? Can I obtain the fitted values from the m...

Hi, I've noted that not all `predict' methods are hidden in the namespace: > methods("predict") [1] predict.ar* predict.Arima* [3] predict.arima0* predict.glm [5] predict.HoltWinters* predict.lm [7] predict.loess* predict.mlm [9] predict.nls* predict.poly [11] predict.ppr* predict.prcomp* [13] predict.princomp* predict.smooth.spline* [15] predict.smooth.spline.fit* predi...

I have a data file with a given time series of price data and I would like to split the time series into a test set and training set. I would then like to build an ARIMA model on the training set and apply this model on test set. Below is some code: [CODE] data= read.table("A.txt",sep=",") attach(data) training = data[1:120, 6] test = data[121:245, 6] ts1 = ts(training) ts2 =

Hello, I would like to study time series with ARIMA and GARCH models. I installed R-Plus and its libraries but when I try to execute the function arima0, It answers that the function does not exist. Could you help me or give me references of papers dealing with arima and garch in R-Plus? Thanks Beno?t, ___________________________________ Mr. Beno?t LACHERON Rue de l'industrie, 44, 1040 Brussels - Belgium Phone: +32 (0)2 287 91 35 Fax : +3...

...e R, i tried to use function arima(), it complains: Error: couldn't find function "arima" But when I type "help.search("arima") ", I got arima() poped up.. arima(ts) ARIMA Modelling of Time Series arima.sim(ts) Simulate from an ARIMA Model arima0(ts) ARIMA Modelling of Time Series -- Preliminary Version Do i need to include some path? THANKS a lot for any hints! yan

Hi, In my ongoing quest to track down the source of an error (see message "[R] optim error in arima" above), I find in the cource code for arima0 the following: arma0f <- function(p) { par <- as.double(fixed) par[mask] <- p .Call("arma0fa", G, par, PACKAGE = "stats") } I would like to know what the function "arma0f" does. Does the above mean that there is a functi...

Thanks, Can't find an ARIMA in base, dse1/2 or tseries, only references to. What package is it in? Thanks again! Best regards, /fb -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the

...index=sample(4,15,replace=T) final<-do.call(rbind,lapply(index,function(i) get(as.character(levels[as.numeric(levels)==i])))) --------------------------------> this gives me my data set l=final$l g=final$g model=arima0(l,order=c(2,0,2),xreg=g,method=("ML")) } I get warnings like: Call: arima0(x = l, order = c(2, 0, 2), xreg = g, method = ("ML")) Coefficients: ar1 ar2 ma1 ma2 intercept xreg 0.2549 -0.7722 -0.5586 0.3563 3e-0...