similar to: Modelizar inflación con un modelo fraccionalmente integrados ARFIMA-STVGARCH

>>>>> akshay kulkarni >>>>> on Wed, 31 May 2023 20:55:33 +0000 writes: > dear members, > I am using arfima() from forecast package to model a time > series. The following is the code: >> LYGH[[202]] > [1] 45.40 3.25 6.50 2.15 >> arfima(LYGH[[202]]) > Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma,

Dear Martin, Sad that the bug is beyond your ken... Fortunately, the error happens only rarely...The length of LYGH was 719 and there were only two such errors..I will just replace them with NA and make do. By the by, what if I send LYGH as an attachment to your actual mail ( not the r-help mail)? Will it help? Can you then pinpoint the cause? Or should I raise a bug

please help.. I have estimate the value of parameter for AR,MA and fractional d.but I have problem on having the right command for forecasting ARFIMA model.please help...... -- View this message in context: http://r.789695.n4.nabble.com/how-to-make-ARFIMA-forecast-by-using-r-tp3869928p3869928.html Sent from the R help mailing list archive at Nabble.com.

Hello. I'm trying to make k-step-ahead forecasts using ARFIMA(0, d, 0) models by taking the first T+k-1 coefficients in the binomial expansion of (1-B)^d, regarding (1-B)^d x(T+k) as an AR(T+k-1) on x(T+k), where x(T) is the series value at time T and k = 1, 2, 3, . That is, I forecast the series k values forward using the first T+k-1 coefficients in the binomial expansion of (1-B)^d as

dear members, I am using arfima() from forecast package to model a time series. The following is the code: > LYGH[[202]] [1] 45.40 3.25 6.50 2.15 > arfima(LYGH[[202]]) Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma, hess = hess, fdf.work = fdf$w) : NA/NaN/Inf in foreign function call (arg 5) I tried viewing .fdcov() with the following code:

Dear R users, I'm trying to use the "strucchange" package to determine structural breaks in an ARFIMA model. Unfortunately I'm not so familiar with this topic (and worse, I'm a beginner in R), so I don't know exactly how to specify my model so that the "Fstats","sctest" and "breakpoint" functions to recognize it and to calculate the

Please I want to perform full data analysis using ARFIMA model but I dont know the right package that can perform all the necessary test on the time series data. ERIC AIDOO [[alternative HTML version deleted]]

I would like to compute the next 15 observations for an ARFIMA(2,1,0) model along with confidence intervals. Can someone provide code? Many thanks. Jill ____________________________________________________________________________________ [[elided Yahoo spam]]

Hello all, This is a request for help from somebody who has the Ox interfaces working in R. I am trying to get the Ox interfaces working for Arfima and Garch modelling. However, I am having several problems: 1. The link to download G at rch_v40 does not work. Does anybody have a copy to email to me please? 2. Various guides offer different instructions for installing Ox in the correct place

Hello! I used the function fracdiff(dn, nar=1, nma=1) and got the values of d, ar and ma coefficients. Also another coefficients were get under fdGPH, fdSperio. How could I get the forecasts in these models? Thank you very much [[alternative HTML version deleted]]

Dear members, I am using arfima in an mclapply construction (from the parallel package): Browse[2]> LYG <- mclapply(LYGH, FUN = arfima, mc.cores = detectCores()) ^C Browse[2]> LYG <- mclapply(LYGH[1:10], FUN = arfima, mc.cores = detectCores()) ^C Browse[2]> LYG <- mclapply(LYGH[1:2], FUN = arfima, mc.cores = detectCores()) ^C You can see that I am

Existe algún paquete en donde puedo modelizar específicamente series diarias univariadas siguiendo la metodología de Box-Jenkins? Cómo modelizar mas de una estacionalidad en dichas series por ejemplo una estacionalidad semanal y anual? GRacias Santiago Cilintano [[alternative HTML version deleted]]

Dear Jeff, There was a problem in LYGH and lapply threw an error, but mclapply got stuck in an infinite loop. The doc for mclapply says that mclapply runs under try() with silent = TRUE. So that means mclapply should run properly, i.e output a try class object and exit. But it didn't. Can you shed some light on why this happened? THanking you, Yours sincerely, AKSHAY M

Hi all, First: I have a small line of code I'm applying to a variable which will be placed in a matrix table for latex output of accuracy measures: acc.aarima <- signif(accuracy(forecast(auto.arima(tix_ts, stepwise=FALSE), h=365)), digits=3). The time series referred to is univariate (daily counts from 12-10-2010 until 5-8-2010 (so not 2 full periods of data)), and I'm working on

Dear members, I am using pbmcapply to parellise my code. But the following code doesn't work: > LYG <- pbmclapply(LYGH,FUN = arfima,mc.cores = 2,mc.preschedule = FALSE) | | 0%, ETA NA^ It just hangs. But the

Hola a todos, Soy nuevo en R y estoy intentando modelizar una serie de datos no estacionarios usand la distribucion Generalizada de Valores Extremos GEV. ¿Podriais indicarme como se modeliza una tendencia polinómica (cuadrática, por ejemplo) en alguno de los 3 parámetros (situación, escala o forma)? He encontrado documentación a cerca de modelización linear o exponencial, pero no acabo de

Hi, I got some problem running the example of arfimaOxFit. The first three line of the examples I run are: library(Rmetrics) x = armaSim(model = list(ar = c(0.5, - 0.5), d = 0.3, ma = 0.1), n = 500) fit = arfimaOxFit(formula = x ~ arfima(2,1)) The error msg is: Error in eval(expr, envir, enclos) : object "package" not found Did I do something wrong? Should I install OxConsole with

Hi I want to implement Egarch (1,1) with t distribution model using RExcel and VBA. May I know the syntax. Following is the code that I 'm using. rinterface.RRun "spec=ugarchspec(variance.model=list(model=(eGARCH),garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model=(std))" rinterface.RRun "fit = ugarchfit(Data = b, spec = spec)"

On Fri, 9 Jun 2023 18:01:44 +0000 akshay kulkarni <akshay_e4 at hotmail.com> wrote: > > LYG <- pbmclapply(LYGH,FUN = arfima,mc.cores = 2,mc.preschedule = > > FALSE) > | > | > 0%, ETA NA^ > > It just hangs. My questions from the last time still stand: 0) What is your

Hi I was trying to implement Egarch (1,1) with Student t distribution using rugarch. But I was not getting any value. Following were the commands that I was using: library(rugarch) spec=ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), arfima=FALSE), distribution.model="std") fit=ugarchfit(data=b,spec=spec) sigma(fit) May I