Displaying 20 results from an estimated 58 matches for "x_t".
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2007 May 08
2
statistics/correlation question NOT R question
This is not an R question but if anyone can help me, it's much
appreciated.
Suppose I have a series ( stationary ) y_t and a series x_t ( stationary
)and x_t has variance sigma^2_x and epsilon is normal
(0, sigma^2_epsilon )
and the two series have the relation
y_t = Beta*x_t + epsilon
My question is if there are particular values that sigma^2_x and
sigma^2_epsilon have to take in order for corr(x_t,y_t) to equal Beta ?
I...
2007 Sep 13
5
statistics - hypothesis testing question
...r the
whole 24 weeks and then calculating a statistic from those based on
those regressions ?
I broke things up into 24 weeks because I was thinking that the
stability of the performance difference of the two models could be
examined over time. Essentially these are simple time series regressions
X_t = B*X_t-1 + epsilon so I always need to consider
whether any type of behavior is stable. But now I am thinking that, if
I just want one overall number, then maybe I should be considering all
the data simultaneously ?
In a nutshell, I am looking for any suggestions on the best way to test
whet...
2000 Sep 22
0
what do you do for 2SLS or 3SLS
For 2 or 3 stage least squares, what do you R folks do?
Follow-up question. My student wants to estimate this. 2 variables are
governed by a system of difference equations. His theory is like so.
Y_t and X_t are
state variables, we want estimates for a, g, b, and h.
X_(t+1) = 1 + a X_t + (a/K)* (X_t)^2 - g Y_t X_t
Y_(t+1) = b Y_t + h* X_t * Y_t
K is perhaps something to estimate, but it seems as though somebody has
a formula we can use to calculate it from data and people just want to
plug in that...
2008 Jul 21
2
avoid loop with three-dimensional array
Dear R user,
I'm trying to find a solution for optimizing my code. I have to run a 50.000
iteration long simulation and it is absolutely necessary to have an
optimized code.
I have to do this operation
*sum_t ( t(X_t) %*% A %*% X_t )*
where X_t is a (d*k) matrix which changes in time and A is a constant in
time (d*d) matrix.
I have put all my X_t in a three dimensional array X of dimension (d,k,T).
At the moment for computing the sum over time I'm doing a for loop and
saving the resulting (k*k) matrix in a...
2000 Apr 04
0
stochastic process transition probabilities estimation
Hi all,
I'm new with R (and S), and relatively new to statistics (I'm a
computer scientist), so I ask sorry in advance if my question is silly.
My problem is this: I have a (sample of a) discrete time stochastic
process {X_t} and I want to estimate
Pr{ X_t | X_{t-l_1}, X_{t-l_2}, ..., X_{t-l_k} }
where l_1, l_2, ..., l_k are some fixed time lags. It will be enough for
me to compute
#{ X_t=a_t, X_{t-l_1}=a_{t-l_1}, X_{t-l_2}=a_{t-l_2}, ..., X_{t-l_k}=a_{t-l_k} }
-------------------------------------------------...
2017 Jun 20
1
How to write an estimated seasonal ARIMA model from R output?
...,d,q), seasonal =list(order=c(P,D,Q), period=s)
How can I write an estimated seasonal ARIMA model from the outputs. To be specifically, which sign to use? I know R uses a different signs from S plus.
Is it correct that the model is:
(1-ar1*B-ar2*B^2-...)(1-sar1*B^s-sar2*B^2s-....)(1-B)^d(1-B^s)^D X_t=(1+ma1*B+ma2*B^2+...)(1+sma1*B^s+sma2*B^2s+....) a_t
For example:
> m1=arima(koeps,order=c(0,1,1),seasonal=list(order=c(0,1,1),period=4))
> m1
Call:
arima(x = koeps, order = c(0, 1, 1), seasonal = list(order = c(0, 1, 1), period = 4))
Coefficients:
ma1 sma1
-0.4096 -0.82...
2007 Jul 06
1
algebra/moving average question - NOTHING TO DO WITH R
...ry bright people on
this list.
Suppose I had a time series of data and at each point in time t, I was
calculating x bar + plus minus sigma where x bar was based on a
moving window of size n and so was sigma.
So, if I was at time t , then x bar t plus minus sigma_t would be based
on the values of x_t-n+1 through x_t.
This is the hard part : Is there a way to back out what the next
value(s), x_t+1 would have to be in order to for that value to
be either
greater than x bar_t+1 plus Z*sigma_t+1
or
less than x bar_t+1 plus minus Z*sigma_t+1.
where Z is whatever constant ?
I started to...
2007 May 21
1
Sample correlation coefficient question NOT R question
This is a statistics question not an R question. When calculating the
sample correlation coefficient cor(x_t,y_t) between say
two variables, x_t and y_t t=1,.....n ( one can assume that the
variables are in time but I don't think this really matters
for the question ), does someone know where I can find any piece of
literature that says that each (x_j,y_j) pair has
To be independent from the other (x_...
2004 Apr 07
1
Time Varying Coefficients
I'd like to estimate time varying coefficients in a linear regression using
a Kalman filter.
Even if the Kalman Filter seems to be available in some packages I can't
figure out how to use it to estimate the coefficients.
Is there anyway to do that in R?
Any help appreciated
Thanks
2006 Feb 06
1
marginal distribution wrt time of time series ?
...is is ok, but what if samples are
correlated, nonstationary etc.?
Are there limit theorems which for example allow
us to claim that for weak dependent, stationary
and ergodic time series such a 'marginal distribution
w.r. to time' converges to marginal distribution
of random variable x_t , defined on basis of joint
distribution for (x_1,…,x_T) ?
What if the correlation is strong (say stationary
and ergodic FARIMA model) ?
Many thanks for your input
Norton
2007 Mar 05
1
Heteroskedastic Time Series
...where the variance of the disturbances is a function of some
exogenous variable. So something like:
Y_t = a_0 + a_1 * Y_(t-1) +...+ a_p * Y_(t-p) + b_1 * e_(t-1) +...+ b_q *
e_(t-q) + e_t,
where
e_t ~ N(0, sigma^2_t),
and with the variance specified by something like
sigma^2_t = exp(beta_t * X_t),
where X_t is my exogenous variable. I would be very grateful if somebody
could point me in the direction of a library that could fit this (or a
similar) model.
Thanks,
James Kirkby
Actuarial Maths and Stats
Heriot Watt University
2007 Aug 07
1
Functions for autoregressive Regressionmodels (Mix between times series and Regression Models) ?
Hello everybody,
I've a question about "autoregressive Regressionmodels".
Let Y[1],.....,Y[n], be a time series.
Given the model:
Y[t] = phi[1]*Y[t-1] + phi[2]*Y[t-1] + ... + phi[p]*Y[t-p] + x_t^T*beta + u_t,
where x_t=(x[1t],x[2t],....x[mt]) and beta=(beta[1],...,beta[m]) and u_t~(0,1)
I want to estimate the coefficients phi and beta.
Are in R any functions or packages for "autoregressive Regressionmodel" with special summaries?. I'm not meaning the function "ar&quo...
2008 Jul 22
1
help with simulate AR(1) data
Hi, sorry for bothering your guys again.
I want to simulate 100 AR(1) data with cor(x_t, x_t-1)=rho=0.3. The mean of
the first 70 data (x_1 to x_70) is 0 and the mean of the last 30 data (x_71
to x_100) is 2. Can I do it in the following way?
x <- arima.sim(list=(ar=0.3), 100)
mean <- c(rep(0, 70), rep(2, 30))
xnew <- x+mean
If the above code to simulate 100 AR(1) data is...
2010 Aug 13
2
How to compare the effect of a variable across regression models?
...he effect of a variable (age) on an outcome (local recurrence:
lr). I have built 3 models:
- model 1: lr ~ age y = \beta_(a1).age
- model 2: lr ~ age + presentation variables (X_p) y = \beta_(a2).age +
\BETA_(p2).X_p
- model 3: lr ~ age + presentation variables + treatment variables( X_t)
y = \beta_(a3).age + \BETA_(p3).X_(p) + \BETA_(t3).X_t
Presentation variables include variables such as tumor grade, tumor size, etc...
the physician cannot interfer with these variables.
Treatment variables include variables such as chemotherapy, radiation, surgical
margins (a surrog...
2009 Jun 19
1
using garchFit() to fit ARMA+GARCH model with exogeneous variables
Hello -
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t where \epsilon_t are i.i.d. random
variables
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta y_{t-1}^2
I looked through documentation of garchFit() from the fGarch library but
didn't find a way to include exogeneous variables like x_t. How do I do
that? Thank you very much in adv...
2002 Apr 09
2
Restricted Least Squares
Hi,
I need help regarding estimating a linear model where restrictions are imposed on the coefficients. An example is as follows:
Y_{t+2}=a1Y_{t+1} + a2 Y_t + b x_t + e_t
restriction
a1+ a2 =1
Is there a function or a package that can estimate the coefficient of a model like this? I want to estimate the coefficients rather than test them.
Thank you for your help
Ahmad Abu Hammour
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2005 Jun 01
2
Fitting ARMA model with known inputs.
Hello!
Is it possible to use R time series to identificate a process which is
subjected to known input? I.e. I have 2 sequences - one is measurements
of black box's state and the second is the "force" by which this black
box is driven (which is known too) and I want to fit thist two series
with AR-process. The "ar" procedure from stats package expects that the
force is
2012 Oct 11
2
ccf(x,y) vs. cor() of x and lagged values of y
Hi
I'm computing the correlation between two time-series x_t and y_t-1
(time-series lagged using the lag(y,-1) function) using the cor() function
and the returned value is different from the value of ccf() function at the
same lag. Any ideas why this is so?
Thanks in advance for any hints.
Mihnea
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2004 Nov 16
1
lme, two random effects, poisson distribution
...ime slots are divided into two categories:
Resting time slots (the first 10)
Excited time slots (the last 2)
I used model:
************pumps_ti = state_t + slugs_i + error_ti
slugs and error are normaly distributed
pumps_ti - # of pumps for i-th animal and t-th time slot
x_t - order of the time slot (x_1 = 1, ..., x_12 = 12)
state_t - state_t = 0 for resting time slots (t=1,...,10)
state_t = 1 for excited time slots (t=11,12)
slugs_i - ith animal, where i = 1,...,25
I would like to find out if the # of pumps depends on the variable
state, ass...
2003 Dec 02
2
model of fish over exploitation
...) = alpha*St*Xt
Ht the catch for each period t
Xt fishing effort for each period t
alpha parameter of boat productivity
* the dynamic of the fish stock
S(t+1) = S(t) + Gt - Ht
I would like to modelise the following system:
S_(t+1) = S_t + G_t - H_t
G_t = r*S_t*(1-S_t / sbar)
H_t = alpha * S_t * X_t
S_1961 = S_0
I know only H_t on period (1961 - 1994) and X_t on the same period.
I don't know r, sbar, alpha and S_0 (the initial level of the stock)
(and of course S_t on this period) and I want to estimate this four
parameters.
I have written something like that:
**************************...