search for: r_time_series_quick_fix

Hi All, I have a very simple question about a time series object: how to access values for a particular year and quarter (say)? Suppose, following http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm I have read in data as a time series; here is how it looks. * Qtr1 Qtr2 Qtr3 Qtr4 1960 0.71 0.63 0.85 0.44 1961 0.61 0.69 0.92 0.55 . . . . . . . . . . 1979 14.04 12.96 14.85 9.99 1980 16.20 14.67 16.02 11.61* How do I access...

Hello all, I''m having fun again with the arima function. This time I read in: http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm <<It has recently been suggested (by a reliable source) that using xreg in arima() does NOT fit an ARMAX model [insert slap head icon here]. This will be investigated as soon as time permits.>> (by R.H. Shumway & D.S. Stoffer) This is quite surprising... Does anybody know an...

...var 1284.675 # S.E. of regression 22.81029 Akaike info criterion 9.121554 # Sum squared resid 50990.32 Schwarz criterion 9.199231 # Log likelihood -457.6385 F-statistic 158548.1 # Durbin-Watson stat 2.350440 Prob(F-statistic) 0.000000 # following code based on http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm # "And now for some regression with autocorrelated errors." # I've tried to follow the example in Pinheiro & Bates (2004), p. 239-244, with no success. gc_ts = ts(ex32[66:166,"gc"]) yd_ts = ts(ex32[66:166,"yd"]) library(nlme) trend = time(gc_ts) fit_lm...

Dear R-help-archive.. I am trying to figure out how to make arima prediction when I have a process involving multivariate time series input, and one output time series (output is to be predicted) .. (thus strictly speaking its an ARMAX process). I know that the arima function of R was not designed to handle multivariate analysis (there is dse but it doesnt handle arma multivariate analysis, only

Dear R list As suggested by Prof Brian Ripley, I have tried to read acf literature. The main problem is I am not the statistician and hence have some problem in understanding the concepts immediately. I came across one literature (http://www.stat.nus.edu.sg/~staxyc/REG32.pdf) on auto-correlation giving the methodology. As per that literature, the auto-correlation is arrived at as per following.