search for: tsdiag

Hello, I'm getting the following error message when I try to run 'tsdiag' on what seems to be a valid time series: > tsdiag(small) returns: [Error in tsdiag(small) : no applicable method for "tsdiag"] where small is a little test series where I have isolated this problem (the original has 30-years worth of daily data) When I print it (small), it lo...

The "tsdiag" function in the TSA package overrides the "tsdiag" function in the "stats" package. There are a few annoying bugs in the TSA's version of the function so I would like to use the "stats" function but still have access to other TSA functions. I have tried usin...

I am using the ts package to fit ARIMA models, and the tsdiag() function to plot diagnostics. In doing so I'm generating an awful lot of diagnostic plots of different models and different data sets all within the same R session. So my question is, is there an option in tsdiag() similar to <main="Title"> that I can use? This would be qui...

Dear Everyone, The document of `tsdiag? says > These tests are sometimes applied to the residuals from an ARMA(p, q) fit, in which case the references suggest a better approximation to the null-hypothesis distribution is obtained by setting fitdf = p+q, provided of course that lag > fitdf. This implies that we should pass the `f...

Hi R-Helpers, I'm dealing with the STL procedure and trying to apply the tsdiag and StructTS onto the ts object to analyse the different parameters which need to be set. How can I use the tsStructure & tsdiag to create a seasonal, trend and cycle subseries plot so that I can select & analyse the correct np,ns, nt and nl? The problem is that too much signal goes into t...

HI list, I want to know whether tsdiag uses k-(p+q) as the lag in ljung box test. How is it possible to save those values nuncio -- Nuncio.M Research Scientist National Center for Antarctic and Ocean research Head land Sada Vasco da Gamma Goa-403804 [[alternative HTML version deleted]]

Hi, I am newbie user of ggplot and would like some assistance in implementing time series plots. I'd like to know how the tsdiag plot can be made in ggplot? Thanks Harsh Singhal Decisions Systems, Mu Sigma Inc.

Hi all, I am modelling a time series with missing data. *Q1)* However, I am not sure if I should use the next *graphics* to understand my data: *a)* ACF & PACF (original series) *b)* ACF & PACF (residuals) * * *Q2)* I am using *tsdiag*, so I obtain a graphic with 3 plots: stand. residuals vs time; acf for residuals; Ljung-Box for residuals (it is wrong for residuals). I know that using Box.test with type Ljung-Box, I can specify a correct df to my estimated model (fitdf = p + q). So, I could do this test with different lags, eva...

...g seasonal ARIMA like, library(TTR) data <- rnorm(252) n=21 sma_data=SMA(data,n) sma_data=sma_data[-1:-n] acf(sma_data,length(sma_data)) arima=arima(sma_data,c(0,0,0),seasonal = list(order = c(0, 0,n)));tsdiag(arima,100);arima$aic; But is there any easy way that we can do in excel?? (Like differencing, dummy variable approach etc) Thanks and Regards, Ramesh Kallol | Amba Research Ph +91 80 3980 8467 | Mob +91 9019720734 Bangalore * Colombo * London * New York * San José * Singapore * www...

...=0) > > (fit <- StructTS(trees, type = "level")) > > Call: > StructTS(x = trees, type = "level") > > Variances: > level epsilon > 0.0003700 0.0719877 > > plot(trees) > > lines(fitted(fit), col = "green") > > tsdiag(fit) > > > > (fit <- StructTS(log10(UKgas), type = "BSM")) > Error in optim(init[mask], getLike, method = "L-BFGS-B", lower = rep(0, : > non-finite value supplied by optim > Calls: StructTS -> optim > Execution halted I'll be happy to supp...

Hi, I'm dealing with time series. I usually use stl() to estimate trend, stagionality and residuals. I test for normality of residuals using shapiro.test(), but I can't test for autocorrelation and heteroskedasticity. Is there a way to perform Durbin-Watson test and Breusch-Pagan test (or other simalar tests) for time series? I find dwtest() and bptest() in the package lmtest, but it

...clude.mean=F, optim.control=list(trace=1,REPORT=1,reltol=tol)) if (d==0 & D>0) fitit=arima(data, order=c(p,d,q), seasonal=list(order=c(P,D,Q), period=S), xreg=constant,include.mean=F, optim.control=list(trace=1,REPORT=1,reltol=tol)) if (S < 0) goof=20 else goof=3*S tsdiag(fitit,gof.lag=goof) k=length(fitit$coef) BIC=log(fitit$sigma2)+(k*log(n)/n) AICc=log(fitit$sigma2)+((n+k)/(n-k-2)) AIC=log(fitit$sigma2)+((n+2*k)/n) innov<<-fitit$resid list(fit=fitit, AIC=AIC, AICc=AICc, BIC=BIC) } -----------------------------------------------------------------...

Hi, I want to give a summary or anova for "arima" model in R, as "summary", and "anova" for "lm". As including various intervention factors in arima(xreg = ) part, I want to assess the significancy of thse factors. I can do it using interrupted analysis of time series by linear regression, but want to see whether arima model works for the data first.

...of the standard deviation of the residuals. But if I do flh <- arima(lh, order = c(3,0,0)) var(flh$residuals) I get 0.1824616, not (something close to) 1 as I would have expected. And flh$sigma2 is 0.1786603 --- which is pretty close to the foregoing value given by var(). Also I note that tsdiag.Arima creates rs <- object$resid stdres <- rs/sqrt(object$sigma2) i.e. it undertakes ``standardization''. So it looks to me as if the residuals component is NOT ``standardized''? Am I correct? (2) How is sigma2 calculated? The help says that it is the MLE of sigma-squa...

Hi there, I am using gls from the nlme library to fit an AR(1) regression model. I am wondering if (and how) I can separate the auto-correlated and random components of the residuals? Id like to be able to plot the fitted values + the autocorrelated error (i.e. phi * resid(t-1)), to compare with the observed values. I am also wondering how I might go about calculating confidence (or

...Seems like the maximum seasonal 'q' parameter for the ?arima is 350. Any way, where we can increase this? Since I am working on 3 year (q=252*3) and 5 year(q=252*5) returns, I may require this option. Thanks. > fit=arima(r,c(3,0,0),seasonal = list(order = c(0, 0, 500), period = NA));tsdiag(fit);fit$aic Error in makeARIMA(trarma[[1L]], trarma[[2L]], Delta, kappa) : maximum supported lag is 350 Thanks, Shubha This e-mail may contain confidential and/or privileged i...{{dropped:13}}

Hello, I am having some problems with fitting an ARMA model to my time series data (randomly generated numbers). The thing is I have tried many packages [tseries, fseries, FitARMA etc.] and all of them giving very different results. I would appreciate if someone could post here what the best package is for my purpose. Also, after having done the fitting, I would like to check for the model's

Hi, I saw that tsdiag function doesn't provide a correct result for Ljung-Box test. I want to use Box.test function for this, but I don't know how to determine lag parameter for this function. For fitdf, as I'm using a SARIMA model (0,1,1)(0,1,1)12, I decided to set it to 2. Can you confirm me the value fo...

This is something that I have not seen in earlier beta versions of 1.6.0: . . . ts.plot text html latex example ts.union text html latex example tsSmooth text html latex tsdiag text html latex example R_LIBS= ../../../bin/R CMD INSTALL ERROR: no packages specified *** Error code 1 make: Fatal error: Command failed for target `_tgz.ts' Current working directory /home/gardar/local/src/R-1.6.0/src/library/Recommended *** Error code 1 (...

Hello, I asked a question about what the most likely process to follow if after a time-series fit is performed the residuals are found to be non-normal. One peron responded and offered to help if I supplied a sample data set. Unfortunately now that I have a sample I have lost the emai addressl. If you are that person or have some ideas please email me back at rkevinburton at charter.net. Thank