Displaying 20 results from an estimated 2000 matches similar to: "Problems with arima function (PR#8743)"
2009 Mar 05
3
Time Series - ARIMA differencing problem
Hi,
I have been using this website (
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm ) to help me to fit ARIMA
models to my data. At the moment I have two possible methods to use.
Method 1
If I use
arima(ts.data, order=c(1,2,0), xreg=1:length(ts.data))
then the wrong value for the intercept/mean is given (checked on SPSS and
Minitab) and
2009 Nov 09
0
ARIMA, xreg and intercepts
David Stoffer describes some challenges with R's output when fitting
ARIMA models for different orders (see Issue 2 at
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm). R doesn't fit an
intercept in the model if there is any differencing. David describes a
workaround using the xreg parameter to force R to calculate an
intercept.
Assume I have a variable y and 3 explanatory variables a,
2011 Jun 30
0
CCF of two time series pre-whitened using ARIMA
Hi all,
I have two time series that I would like to correlate but as they are
autocorrelated, I am "pre-whitening" them first by fitting ARIMA models,
then correlating their residuals....as described in
https://onlinecourses.science.psu.edu/stat510/?q=node/75
However, http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm discusses some
issues with ARIMA in R. In particular, for issue 2, if
2009 Mar 08
0
ARIMA second order differencing problem
Hi,
I have been using this site (
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm) to help me with some
ARIMA modelling in R.
Unfortunately the methods mentioned do not appear to work with second order
differencing; arima(*, 2, *).
I have used some dummy data to illustrate my point.
When I use the xreg=... method, the estimate of intercept is *way* off. This
can be seen by the high s.e but I
2005 Oct 21
0
Error in arima reporting (PR#8231)
When arima is used to fit a time series, the output gives an
estimate of the mean of the series, but calls it the intercept.
For example, if x(t) = a + b x(t-1) + w(t) is a stationary AR(1)
and w(t) is white noise, then mu = a + b mu, or a = mu (1-b),
where mu = E(x(t)). Unless b=0, the mean mu and the intercept a
are not the same. Here's a quick R example:
> x =
2009 Feb 25
1
Problems with ARIMA models?
Dear R,
I have find a website where they report problem with ARIMA models in R. I
run the examples there and they give result as shown on the website. Does
this mean that nothing has corrected in R? Maybe you not have seen the
page, but the author said he contacted you.
Here is the URL: http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
I like to know your opinion.
Mvh.
Marie
[[alternative
2009 Feb 25
1
Problems with ARIMA models?
Dear R,
I have find a website where they report problem with ARIMA models in R. I
run the examples there and they give result as shown on the website. Does
this mean that nothing has corrected in R? Maybe you not have seen the
page, but the author said he contacted you.
Here is the URL: http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
I like to know your opinion.
Mvh.
Marie
[[alternative
2006 Apr 04
0
header containing (PR#8231) -- replace 8231
Sorry for reporting this again, but I didn't notice that there was a
response. The response to PR#8231 is "This is a matter of opinion!"
First, I find this response arrogant and dismissive and I would ask
for a second opinion. Second, the use of the term "intercept" -
whether or not you think is "a matter of opinion" - is MISLEADING. Why
do you want to
2009 Mar 26
1
arima, xreg, and the armax model
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)
2006 Jul 26
1
arima() function - issues
Hi,
My query is related to ARIMA function in stats package.
While looking for the time series literature I found following link which
highlights discrepancy in "arima" function while dealing with
differenced time series. Is there a substitute function similar to
"sarima" mentioned in the following website implemened in R? Any pointers would
be of great help.
2010 Jan 30
2
question about time series objects
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
. . . . .
2013 Jul 18
1
Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y)
Dear all,
When I run an arima(1,1,1) on an I(1) variable, y, I get different estimates to when I first difference the variable myself, e.g y2<-diff(y), and then run arima(1,0,1) on y2. Shouldn't these two approaches give the same output?
Any help will be much appreciated.
george
2009 Nov 16
1
ARMAX model fitting with arima
I am trying to understand how to fit an ARMAX model with the arima
function from the stats package. I tried the simple data below, where
the time series (vector x) is generated by filtering a step function
(vector u, the exogenous signal) through a lowpass filter with AR
coefficient equal to 0.8. The input gain is 0.3 and there is a 0.01
normal white noise added to the output:
x <- u
2008 Jan 01
0
Wish List
Most of the items on this list have been mentioned before but it
may be useful to see them altogether and at any rate every year
I have posted my R wishlist at the beginning of the year.
High priority items pertain to the foundations of R (promises,
environments) since those form the basis of everything
else and the foundation needs to be looked after first.
The medium items are focused on
2008 Jan 11
1
question about xreg of arima
Hi,
I am trying to understand exactly what xreg does in arima. The documentation
for xreg says:"xreg Optionally, a vector or matrix of external regressors,
which must have the same number of rows as x." What does this mean with
regard to the action of xreg in arima?
Apparently somehow xreg made the following two arima fit equivalent in R:
arima(x, order=c(1,1,1), xreg=1:length(x))
is
2011 Jun 08
1
Autocorrelation in R
Hi,
I am trying to learn time series, and I am attending a colleague's
course on Econometrics. However, he uses e-views, and I use R. I am
trying to reproduce his examples in R, but I am having problems
specifying a AR(1) model. Would anyone help me with my code?
Thanks in advance!
Reproducible code follows:
download.file("https://sites.google.com/a/proxima.adm.br/main/ex_32.csv
2007 Nov 15
3
kalman filter estimation
Hi,
Following convention below:
y(t) = Ax(t)+Bu(t)+eps(t) # observation eq
x(t) = Cx(t-1)+Du(t)+eta(t) # state eq
I modified the following routine (which I copied from: http://www.stat.pitt.edu/stoffer/tsa2/Rcode/Kall.R) to accommodate u(t), an exogenous input to the system.
for (i in 2:N){
xp[[i]]=C%*%xf[[i-1]]
Pp[[i]]=C%*%Pf[[i-1]]%*%t(C)+Q
siginv=A[[i]]%*%Pp[[i]]%*%t(A[[i]])+R
2008 Jan 01
0
PerformanceAnalytics version 0.9.6 released to CRAN
We are pleased to announce the availability on CRAN of
PerformanceAnalytics version 0.9.6.
This is a feature and bugfix release.
http://cran.r-project.org/src/contrib/Descriptions/PerformanceAnalytics.html
PerformanceAnalytics is a library of econometric functions for
performance and risk analysis. This library aims to aid practitioners
and researchers in utilizing the latest research in
2008 Jan 01
0
PerformanceAnalytics version 0.9.6 released to CRAN
We are pleased to announce the availability on CRAN of
PerformanceAnalytics version 0.9.6.
This is a feature and bugfix release.
http://cran.r-project.org/src/contrib/Descriptions/PerformanceAnalytics.html
PerformanceAnalytics is a library of econometric functions for
performance and risk analysis. This library aims to aid practitioners
and researchers in utilizing the latest research in
2008 Sep 10
2
arima and xreg
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