similar to: (1) arima.mle implementation; (2) r-newbie forum

I did a regression with ARMA errors using arima0 with ari<-arima0(y,order=c(2,0,2),xreg=reg1,delta=-1) or ari<-arima0(y,order=c(2,0,2),xreg=reg1) where reg1 is the matrix of the regressors and when I see diag(ari$var.coef) I get negative terms. Do you know what this mean ? I try to change transform.pars to 0 or 1 but this crash R on Windows. Is it possible to test the significativity

I'd like to play with ARIMA models of stock prices, but I am a complete novice. Could some kind soul explain the relationship among packages "ts", "tseries", "dse", "dse2", and "fracdiff"? Are they 'competing' products or does one depend on another? Where would be the best place for a novice to begin? Thanks for any advice. PS. I

What is the difference between arima and arima0?

Thanks, Can't find an ARIMA in base, dse1/2 or tseries, only references to. What package is it in? Thanks again! Best regards, /fb -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the

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)

HI, there, When i use R, i tried to use function arima(), it complains: Error: couldn't find function "arima" But when I type "help.search("arima") ", I got arima() poped up.. arima(ts) ARIMA Modelling of Time Series arima.sim(ts) Simulate from an ARIMA Model arima0(ts) ARIMA Modelling of Time Series -- Preliminary

Hello, I would like to study time series with ARIMA and GARCH models. I installed R-Plus and its libraries but when I try to execute the function arima0, It answers that the function does not exist. Could you help me or give me references of papers dealing with arima and garch in R-Plus? Thanks Beno?t, ___________________________________ Mr. Beno?t LACHERON Rue de l'industrie, 44, 1040

Full_Name: Ahmad Abu Hammour Version: rw0651 OS: windows 95 Submission from: (NULL) (63.23.128.44) Although I know that "ts package" is preliminary, I wanted to compare the results from R and SPSS. I ran ARIMA(2,1,2) in both softwares. I got NaN in standard errors of coefficients from R and real figures from SPSS. I changed "delta" in R to match that used by SPSS, I received

How does one rotate the loadings from a principal component analysis? Help on function prcomp() from package mva mentions rotation: Arguments retx a logical value indicating whether the rotated variables should be returned. Values rotation the matrix of variable loadings (i.e., a matrix whose olumns contain the eigenvectors). The function princomp returns this in the element

I'm using the fixed argument in arima. Shouldn't ar4, ar5, and ar6 display as zero in the output? Call: arima(x = window(log(hhprice), start = c(1990, 1), end = c(2003, 3)), order = c(7, 1, 0), xreg = window(ts.union(exa1 = lag(exa, -1), exa12 = lag(exa, -12), exb1 = lag(exb, -1), exc1 = lag(exc, -1), exc12 = lag(exc, -12)), start = c(1990, 1), end = c(2003, 3)),

Dear All, R 1.9.1, Windows When copying and pasting a few lines from the 'predict.Arima' help, I get an error message: > data(lh) > predict(arima(lh, order = c(3,0,0)), n.ahead = 12) Error in eval(expr, envir, enclos) : Object "xreg" not found On the other hand, the following is OK: > data(lh) > predict(arima0(lh, order = c(3,0,0)), n.ahead = 12) $pred Time

R-ecologists: Anyone wanting to create a Krebs package for R can do so using the C-source code avalaible at: ftp://gause.biology.ualberta.ca/pub/jbrzusto/krebs/source.zip Barry J. Cooke Current mailing address: Ph.D. Candidate 3971 NW 23 Circle Environmental Biology and Ecology Gainesville, Florida, USA Department of Biological Sciences 32605

Hi, I have a suggestion for the fonction arima and arima0. I think you should not call the constant an intercept because it creates confusion. It is not really an intercept but a mean. For an AR(1) the intercept mu should be defined as: X(t)=mu + phi X(t-1) + e(t) What you call intercept mu is rather defined as (X(t)-mu) = phi (X(t-1)-mu)) + e(t) which is not a common way to define an

Could someone please give a brief explanation, or pointer to an explanation, of the following error: > arima(ts.growth, order = c(1,0,0),include.mean=T) Error in arima(ts.growth, order = c(1, 0, 0), include.mean = T) : non-stationary AR part from CSS and why it does not arise with > arima0(ts.growth, order = c(1,0,0)) Many thanks ____________________________ Dr. Daniel P. Bebber

Hi, I am trying to estimate an ARIMA model in the case where I have some specific knowledge about the coefficients that should be included in the model. Take a classical ARIMA (or even ARMA) model: P(B) X(t) = Q(B) epsilon(t), where X(t) is the data, epsilon is a white noise, B is the backward operator and P and Q are some polynoms. Additionally, assume that you know in advance how P and Q

Hi All, I am new to R, having used S-plus a number of years back. I would like to set up a time series object for forecasting, with data collected daily between 5th April 2001 and 16th September 2001. Any help would be most appreciated as I have been unable to find any suitable examples in the documentation. Thanks, Mark.

Hi, I am trying to forecast a model using predict.Arima I found arima model for a data set: x={x1,x2,x3,...,x(t)} arima_model = arima(x,order=c(1,0,1)) I am forecasting the next N lags using predict: arima_pred = predict(arima_model,n.ahead = N, se.fit=T) If I have one more point in my series, let's say x(t+1). I do not want to recalibrate themodel, I just want to forecast the next N-1

hallo to all I've to calculate an arima model and I need only the first and 365 th parameter and also the sar1 and the intercept, so I'm traing with: arima(X,order=c(365,0,0),seasonal=list(order=c(1,0,0),..),fixed=c(NA,rep(0,363),NA,NA,NA),transform.pars=F) but the error answer is: Error in polyroot(z) : polynomial degree too high (49 max) also there are problems in allocating memory

Greetings: I was looking for the source code for the new arima procedure. I checked the floppies directory and downloaded R-devel-2.tar.gz but this only included the old starma.f. Is the new code available yet? Thanks, George gwtim at 2xtreme.net -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read

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