Displaying 20 results from an estimated 1000 matches similar to: "autoregressive functions"
2007 Jun 11
0
autoregressive spectral density estimate by andrews' plug-in method?
Hello!
I would like to ask if there is in R a function that estimates the spectral density function of a stochastic series at frequency zero by the "plug-in method", advocated by Andrews in his paper "Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, 59,817-858. I saw R has functions that employ Andrews' plug-in method using an
2000 Jun 20
1
pacf
Dear list,
according to the documentation of acf{ts}
"the partial correlation coefficient is estimated by fitting
autoregressive models of successively higher orders up to lag.max. "
However, R seems to return the Yule-Walker estimates of the PACF by
default. You can check this using c(1:10) as the series: the YW
estimates are 0.7000000 and -0.1527035 for lags 1 and 2 . If the PACF
1999 Jul 27
3
Preliminary version of ts package
There is now a preliminary version of a time series package in the R-devel
snapshots, and we would welcome feedback on it. It is based in part on the
packages bats (Martyn Plummer) and tseries (Adrian Trapletti) and in part
on code I had or have written. (Thanks for the contributions, Martyn and
Adrian!) Some of the existing ts code has been changed, for example to plot
multiple time series, so
2011 Mar 29
1
Simple AR(2)
Hi there, we are beginners in R and we are trying to fit the following time
series using ar(2):
> x <- c(1.89, 2.46, 3.23, 3.95, 4.56, 5.07, 5.62, 6.16, 6.26, 6.56, 6.98,
> 7.36, 7.53, 7.84, 8.09)
The reason of choosing the present time series is that the we have
previously calculated analitically the autoregressive coefficients using
the direct inversion method as 1.1, 0.765, 0.1173.
2011 Jan 17
0
Fw: Re: help in calculating ar on ranked vector
--- On Mon, 1/17/11, Raymond Wong <raywong365@yahoo.ca> wrote:
From: Raymond Wong <raywong365@yahoo.ca>
Subject: Re: [R] help in calculating ar on ranked vector
To: "Uwe Ligges" <ligges@statistik.tu-dortmund.de>
Received: Monday, January 17, 2011, 11:56 AM
Thanks Uwe:
Here is my code. the first set of print statements work, but not the second.
#
2008 Aug 25
0
Group mapping question
Greetings,
I am hopeful that someone can assist me with what I am certain is a
simple misconfiguration. I am running a smb server on RHEL5.2, the
version of samba is 3.2.1. I am having a heck of a time getting group
maps to work.
The problem is as followed: Share called "office" need to be accessible
to a group of windows users. The share shows filesystem permissions of
drwxrwx--x
2005 Sep 22
1
Speex newbie questions
Hi everyone,
I have got some questions about Speex, I am sorry if my questions are too
newbie:
1. For the LP analysis, did Speex use the AR (Autoregressive) model or the
ARMA model?
2. Am I right to say that Speex use a multistage VQ (since I believe Speex
employs two or more VQ consecutively - based on the manual it says that
Speex uses dynamically selectable codebooks (linear
2009 Nov 13
2
AR(2) modelling
Hi useRs,
I'm trying to fit a basic AR(2) model with the 'ar' function. And when
I try to check the value of the coefficients, I could not find the
same value as the 'ar' function.
Here is my example:
myserie <- c(212, 205, 210, 213, 217, 222, 216, 218, 220, 212, 215, 236)
#plot(myserie, type="l")
myserieminus0 <- tail(myserie, -2)
myserieminus1 <-
2009 Nov 13
2
AR(2) modelling
Hi useRs,
I'm trying to fit a basic AR(2) model with the 'ar' function. And when
I try to check the value of the coefficients, I could not find the
same value as the 'ar' function.
Here is my example:
myserie <- c(212, 205, 210, 213, 217, 222, 216, 218, 220, 212, 215, 236)
#plot(myserie, type="l")
myserieminus0 <- tail(myserie, -2)
myserieminus1 <-
2010 Apr 08
1
incomplete final line found by readTableHeader
Hi
I am trying this
> x <- read.table("/home/kenji/1245/GDS1_2grps_.cls", header = F, skip = 2)
> x <- read.table("/home/kenji/1246/MYCset.cls", header = F, skip = 2)
Warning message:
In read.table("/home/kenji/1246/MYCset.cls", header = F, skip = 2) :
incomplete final line found by readTableHeader on
'/home/kenji/1246/MYCset.cls'
Here are the
2008 Nov 19
2
simulation of autoregressive process
Dear R users,
I would like to simulate, for 20000 replications, an autoregressive process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma),
Thank you in advance
____________________________________________________
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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
2002 Dec 10
1
autoregressive poisson process
Dear R users,
I am trying to find a package that can estimate
an autoregressive model for discrete data. I am
imagining a Poisson or Gamma process in which the
mean (say mu) follows a process such as
mu_t = a + b*x + c*mu_{t-1}
Suppose I have data on the time-series Poisson
outcomes and x and would like to obtain ML estimates
for b and c.
Does anyone know of a package that can do this
2010 Mar 01
2
Simple Linear Autoregressive Model with R Language
Hello -
I need to do simple linear autoregressive model with R software for my
thesis. I looked into all your documentation and I am not able to find
anything too helpful. Can someone help me with the codes?
Thanks
Emil
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2011 Jul 27
0
Conditional Autoregressive Value at Risk (CAViaR)
Hi,
I am trying to replicate Engle and Manganelli's paper Conditional
Autoregressive Value at Risk (CAViaR) by Regression Quantiles. I have the
Matlab code which I cannot get to work as I have never used Matlab before,
does anyone know if there is the same code available to estimate the CAViaR
models in R?
Thanks,
Shane
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2008 Feb 15
1
Conditional Autoregressive (CAR) model simulation
Hi all !
I would like to simulate spatial lattice/areal data with a conditional
autoregressive (CAR) structure, for a given neighbouring matrix and for a
autocorrelation "rho".
Is there any package or function in R to perform it ?
I found the function "CARsimu" in the hdeco library, but this is not what
I'm looking for
Thanks in advance
Dae-Jin
--
2012 Jul 07
0
regressor & autoregressive error?
Hello,
I am using R for fitting parameters of a time series model.
The model is as below.
Y(t) = mu + a*X(t) + YN(t)
where YN(t) = b*YN(t-1) + innovation
and Z(t) follows N(0,1).
The main obstacle for me is the autoregressive error term, YN(t).
I can't figure out how to estimate the parameters (mu, a, b) with usual
'arima' function in R.
What I have tried is....
1. Do the
2018 Sep 09
0
Confusion about linear prediction within flac
Robin Patrick Decker wrote:
> I would really appriciate an explanation or information on a good
> resource to learn more about how the prediction coefficients are solved
> for.
The Wikipedia page on this subject is not terrible:
https://en.wikipedia.org/wiki/Linear_prediction
The very high-level answer is that if want to choose your coefficients
to minimize the mean squared error of
2010 Jun 22
0
How to generate an autoregressive distributed lag model?
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
2010 Aug 17
0
semiparametric fractional autoregressive model
folks,
does anyone know if the SEMIFAR model has been implemented in R? i see that there's a S-FinMetrics function SEMIFAR() that does the job, but I have no access to that software. essentially, this semiparametric fractional autoregressive model introduces a deterministic trend to the FARIMA(p,d,0) model (which, as i understand it, takes care of the random trend and short and long memory).