Displaying 4 results from an estimated 4 matches for "as154".
Did you mean:
as159
2011 Apr 09
0
stats/arima.c memory allocation
Looking at the arima.c code related to arima fitting I noticed that the code
is mainly a merge of:
- Gardner, G, Harvey, A. C. and Phillips, G. D. A. (1980) Algorithm AS154.
An algorithm for exact maximum likelihood estimation of
autoregressive-moving average models by means of Kalman filtering. Applied
Statistics 29, 311–322.
- Jones, R. H. (1980) Maximum likelihood fitting of ARMA models to time
series with missing observations. Technometrics 20 389–395.
The first...
2004 Mar 03
1
why is rcmd shlib including files not in the list?
...gw instead of the
cygwin -- after reconfiguring my machine, yet again) and I'm getting the
following behaviour that I think is incorrect:
When using rcmd shlib and explicitly listing the files to include in the
build such as:
C:\Sequential\Code>rcmd shlib --output=optflikam flikam.c as47.f as154.f
as197.f
making corrAdaptiveSim.d from corrAdaptiveSim.c
corrAdaptiveSim.c:65:57: /rosetta/Statistics/R/R-1.8.1/src/include/R.h: No
such file or directory
corrAdaptiveSim.c:66:66:
/rosetta/Statistics/R/R-1.8.1/src/include/Rinternals.h: No such file or
directory
corrAdaptiveSim.c:73:57: /rosetta/St...
2004 Mar 03
1
why is rcmd shlib including files not in the list?
...gw instead of the
cygwin -- after reconfiguring my machine, yet again) and I'm getting the
following behaviour that I think is incorrect:
When using rcmd shlib and explicitly listing the files to include in the
build such as:
C:\Sequential\Code>rcmd shlib --output=optflikam flikam.c as47.f as154.f
as197.f
making corrAdaptiveSim.d from corrAdaptiveSim.c
corrAdaptiveSim.c:65:57: /rosetta/Statistics/R/R-1.8.1/src/include/R.h: No
such file or directory
corrAdaptiveSim.c:66:66:
/rosetta/Statistics/R/R-1.8.1/src/include/Rinternals.h: No such file or
directory
corrAdaptiveSim.c:73:57: /rosetta/St...
2011 Jul 20
0
The C function getQ0 returns a non-positive covariance matrix and causes errors in arima()
...end of arima.c in R source files (library
stats). getQ0 takes two arguments, phi and theta, and returns the
covariance matrix of the state prediction error at time zero. The
reference for getQ0 (cited by help(arima)) is:
Gardner, G, Harvey, A. C. and Phillips, G. D. A. (1980) Algorithm
AS154. An algorithm for exact maximum likelihood estimation of
autoregressive-moving average models by means of Kalman filtering.
_Applied Statistics_ *29*, 311-322.
where it is called subroutine STARMA (and coded in fortran 77).
My problem is that getQ0 returns incorrect covariance matrices...