search for: farma

...MA absolute standardized residuals above 2 - about 8% of them). Is this the right way to do it? #-------------------------------- load("rdtb") #the time series > summary(rdtb) Min. 1st Qu. Median Mean 3rd Qu. Max. -1.11800 -0.65010 -0.09091 0.30390 1.12500 2.67600 farma <- arima(rdtb,order=c(1,0,1),include.mean=T) > farma[["coef"]] ar1 ma1 intercept 0.58091575 0.02313803 0.30417062 sim <- list(NULL) #simulated for (i in 1:5) { sim[[i]] <- as.vector(arima.sim(list(ar=c(farma[["coef"]][1]), ma=c(farma[["coef&...

Hello, I am new to R and for some of my research work I am using 'fArma' package to estimate the Hurst parameter of a time series. When I am ding the following command : rsFit(data, doplot = TRUE) I am getting the R/S plot for that time series with default plot title, font size. However, I want to change the axis size,...

...hics plot. You should look at the code of plot.rsfit to determine which arguments get processed. Sent from my iPhone > On Jan 25, 2018, at 10:30 AM, Moyukh Laha <laha.moyukh at gmail.com> wrote: > > Hello, > I am new to R and for some of my research work I am using 'fArma' > package to estimate the Hurst parameter of a time series. > When I am ding the following command : > rsFit(data, doplot = TRUE) > I am getting the R/S plot for that time series with default plot title, > font size. However, I want to...

Hi, I can't apply the summary function when I use de armaFit (fArma). Can you help? fit<-armaFit(~arma(1,0),data=age55) fit Title: ARIMA Modelling Call: armaFit(formula = ~arma(1, 0), data = age55) Model: ARIMA(1,0,0) with method: CSS-ML Coefficient(s): ar1 intercept -0.564184 0.001190 Description: Mon Feb 16 15:00:54 2009 by u...

...code of plot.rsfit to determine which arguments get processed. > > Sent from my iPhone > >> On Jan 25, 2018, at 10:30 AM, Moyukh Laha <laha.moyukh at gmail.com> wrote: >> >> Hello, >> I am new to R and for some of my research work I am using 'fArma' >> package to estimate the Hurst parameter of a time series. >> When I am ding the following command : >> rsFit(data, doplot = TRUE) >> I am getting the R/S plot for that time series with default plot title, >> font size. H...

...t the code of plot.rsfit to determine which arguments get processed. Sent from my iPhone > On Jan 25, 2018, at 10:30 AM, Moyukh Laha <laha.moyukh at gmail.com> wrote: > > Hello, > I am new to R and for some of my research work I am using 'fArma' > package to estimate the Hurst parameter of a time series. > When I am ding the following command : > rsFit(data, doplot = TRUE) > I am getting the R/S plot for that time series with default plot title, > font size....

...a time series. This question has already been asked quite some time ago http://bit.ly/98dZsi and I trust some progress has been made ever since. I was able to find some functions in the packages http://cran.r-project.org/web/packages/Rwave/index.html and http://cran.r-project.org/web/packages/fArma/index.html Allegedly, there should be functions for this in the Rtisean package http://cran.r-project.org/web/packages/RTisean/index.html but I have not been able to find them. Bottom line: if you have a time series (list of empirical data of varying length and not necessarily sampled on a unifo...

...ot timestamps). However, one problem with my data is that the *time intervals are not regular* -- i.e. I don't have observations at every delta_t. So, I possibly can't ignore the timestamps. I'm also interested to estimate the Hurst exponent for the above series. I've installed the fArma package. Again, I'm not sure how to use the above series there. Could someone please help me on this? -- Thanks, Barun Saha JPA IIT, Kharagpur http://pothi.com/pothi/book/barun-saha-swapner-kheya http://delay-tolerant-networks.blogspot.com/p/one-tutorial.html [[alternative HTML version de...

Hi, I'm trying to model an ARMA(1,[1,4]), i.e. I want only lags 1 and 4 of the Moving Average part. It's the '[1,4]' part that is giving me a problem. I've tried different arma's and arima's in different packages, namely: packages tseries, fArma, FinTS, timeSeries, TSA, Zelig, ds1, forecast For example, with package FinTS: > ( ARIMA(y, order=c(1,0,c(1,4))) ) Error in arima(x = x, order = order, seasonal = seasonal, xreg = xreg, : 'order' must be a non-negative numeric vector of length 3 Using ARIMA(1,0,1) with a seasonal...

...The regression on 'Quarters' works fine. # It does exactly what I want it to do. # But!? Surely there must be a more elegant way #?????? to accomplish the same thing ?! # I have looked at the following packages (amongst others): # tseries, timeSeries, TSA, AER, fSeries, vars, FinTS, xts, fArma, # fRegression, tsfa, uroot, urca, ... # without finding anything more convenient (simpler, nicer!). # Any suggestion? # Thank you. # Len Vir

hi all, I have a simple question that does power spectral analysis related to capacity dimension, information dimension, lyapunov exponent, hurst exponent. If yes then please show me the way. I am newbie in the world of chaos. Sayonara With Smile & With Warm Regards :-) G a u r a v Y a d a v Senior Executive Officer, Economic Research & Surveillance Department, Clearing

Hello, I'm using fArma package to estimate the value of Hurst exponent using R/S method. However, for a certain set of data I get H ~ 1.8. How do I interpret this? Following are the output that I get for this set: > mean(data[,2]) [1] 400.5433 > sd(data[,2]) [1] 1139.786 > > rsFit(data[,2], levels = 64) Ti...

...'deldir', 'descr', 'deSolve', 'devtools', 'digest', 'diptest', 'doBy', 'DoE.wrapper', 'e1071', 'effects',   'ENmisc', 'epiR', 'eRm', 'evaluate', 'evd', 'FactoMineR', 'fArma', 'fAssets', 'fBasics', 'fdrtool',   'fExoticOptions', 'fExtremes', 'fGarch', 'fields', 'flexclust', 'fMultivar', 'fNonlinear', 'fOptions',   'forecast', 'foreign', 'fpc', 'fracdi...

Hi all, Does anyone know if Lo's modified R/S statistic is implemented in R? I found "rsFit" function from fArma package (LrdModelling), but I guess this is to calculate the classical R/S statistic. Thank you, M. -- View this message in context: http://www.nabble.com/Lo%27s-modified-R-S-tp24318771p24318771.html Sent from the R help mailing list archive at Nabble.com.

Dear All: I am new in Linux and I have inherited a Linux redhat system with "R Version 2.1.0 (2005-04-18)" installed. Can somebody help me with step by step instructions to download the new version and install it? Thanks mjacob The contents of this communication, including any attachments, may be confidential, privileged or otherwise protected from disclosure. They are intended

...MA(1,[1,4]), >>> i.e. I want only lags 1 and 4 of the Moving Average part. >>> It's the '[1,4]' part that is giving me a problem. >>> >>> I've tried different arma's and arima's in different packages, namely: >>> packages tseries, fArma, FinTS, timeSeries, TSA, Zelig, ds1, forecast >>> >>> >>> For example, with package FinTS: >>> >>> ( ARIMA(y, order=c(1,0,c(1,4))) ) >>>> >>> Error in arima(x = x, order = order, seasonal = seasonal, xreg = xreg, : >>> &...

Dear All, I have a short question. Is there any readily available function that could generate either an ARMAX model or, more generally, an AutoRegressive Distributed Lag model? I am looking for a function that is similar to armaSim() function in fArma package. Thank you. MP

Hello, I'm using the fArma package to estimate Hurst exponent by R/S method. I've some measurements in the following format: Call_number Call_duration I'm using the following steps. Am new to R, so it would help if someone could please confirm if my steps are correct. Further, this method seems to give a value H ~...

...7.2 Has this problem been tracked down to a specific package ? I am using the following packages: library(strucchange) library(car) library(lmtest) library(nlme) library(corrgram) library(RODBC) library(MSBVAR) library(xtable) library(vars) library(tseries) library(PerformanceAnalytics) library(fArma) library(snow) Thanks in advance, Tolga Uzuner ==== message from a year ago ==== Hi, I'm finding a very strange error. For no good reason my R console (Rgui.exe, R 2.5.0, under win XP) stops producing anything meaningful, and just returns: Error: bad value to _whatever_ I enter. It starts...

Hi, how to estimate a the following model in R: y(t)=beta0+beta1*x1(t)+beta2*x2(t)+...+beta5*x5(t)+beta6*y(t-1)+beta7*y(t-2)+beta8*y(t-3) 1) using "lm" : dates &lt;- as.Date(data.df[,1]) selection&lt;-which(dates&gt;=as.Date("1986-1-1") &amp; dates&lt;=as.Date("2007-12-31")) dep &lt;- ts(data.df[selection,c("dep")]) indep.ret1