similar to: Simulation of Timeseries

Hi R-Community, so far I dealt with univariate processes and used the function "arima" to estimate an ARMA(1,1)-model. For multivariate processes there are the functions "estVARXar" and "estVARXls" from package "DSE". But how can I estimate an VARMA(1,1)-model, or even better determine the orders and estimate the parameters? Much thanks in advance, Hagen

When I try to compile R v0.63.0 on my SUN (Solaris 2.5.1 using g77) I get the error message make: Fatal error: Don't know how to make target `/sw/sun4_55/R-0.63.0/src/*/*.[chfy]' I seems that one source file can't be compiled. Does anybody know what I can do? Frank Beimfohr University of Dortmund, Germany

Pro, I am PhD student , i am usuing Rational Expectations Model, I want to model different timeseries with ARMAX models in R because I think that ARMAX models will map best to these data. I want know the steps to use R for ARMAX models I coudn't find any solutions in the R help and therefore I want to ask all of you. Does anyone know how to solve this problem??? That would be

Full_Name: Frank Beimfohr Version: 0.64.1, devel. OS: Solaris 2.5.1 Submission from: (NULL) (129.217.131.31) I try to compile R on my Sparc 4 (Solaris 2.5.1) but the compilation fails. I tried the developer-version and the contributed 0.64.1-Version. I start configure with the --g77-Option. During the compilation it stops with an error, which says that the R/src/library/modreg/src/bsplvd.f

Hi, I want to model different timeseries with ARMAX models in R because I think that ARMAX models will map best to these data. Besides I don't want to use the order of the AR or MA part but the lag e.g. AR Part =ar1, ar2, ar7; MA Part =ma1, ma3 and I want to use exogenous variables as well. I coudn't find any solutions in the R help and therefore I want to ask all of you. Does anyone

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

Hi, suppose I have a time series rt. Why does this code not work? rt <- data n <- length(rt) - 2 at <- vector(length = n) at = rt-(3.75101e-04 + 9.61877e-02 * rt[-1] - 2.48071e-02 * rt[-2]) Thank you, Benjamin

Dear R user, I have written a function which returns max,min and variation of a power (see below) Power is a given matrix(1,n) I call the function >Variation<-VAR(p,(n-deltat)) Now the problem is when I want plot(Results[1],Results[2]). Not possible! I become the following error (in english it means: Error in as.double.default(x) :Object cannot be transformed in double) >

Dear R-helpers, I would appreicate if someone can help me on the transfer parameter in ARIMAX and also see what I am doing is correct. I am using ARIMAX with 2 Exogeneous Variables and 10 years data are as follows: DepVar Period, depVar, IndepVar1 Period, indepVar1, IndepVar2 Period, indepVar2 Jan 1998,708,Jan 1998,495,Jan 1998,245.490 Feb 1998,670,Feb 1998,421.25,Feb 1998,288.170 Mar

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)

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

Hi I'm trying to measure the effect of a policy intervention (Box and Tiao, 1975). This query has to do with the coding of the model rather than with the particulars of my dataset, so I'm not providing the actual dataset (or a simulated one) in this case, apart from some general description. The time series are of length n=34 (annual observations between 1977 and 2010). The policy

Dear R users, I'm trying to write a function which returns minimum,maximum,mean of a vector(power) I've done the following : VAR<-function(power,length){ for(i in tml:length)){ tvar[i]<-i pmean[i]<-mean(power[i:i+deltat]) pmin[i]<-min(power[i:i+deltat]) pmax[i]<-max(power[i:i+deltat]) varmax[i]<-100*(pmax[i]-pmean[i])/pmean[i]

Hallo all can someone explain me how the exogenus variables work in the arimax models is not clear for me... Thanks Michele

Hi, I found the same question in the mailing list already a few months ago - but there was no answer to it - so I'll try it again Could somebody help me to solve this following problem? I just begin to learn how to connect my Oracle database with R. > library(DBI) > library(ROracle) Warning message: DLL attempted to change FPU control word from 8001f to 9001f >

Hello Cracks, we want to import 10 x 365 files containing each 7 variables with 1211 rows. The filenames end with numbers from 1 to 365. We tried a for loop to import using read.table but we couldn't create the r objects within the loop. We want each file in an own r-objekt (matrix). Does anyone know what can be done? Thanks, Felix -- Felix Tiefenbacher Eidg. Institut f?r Schnee- und

I have a timeseries object, ts, and want to get the first date in the series into a string so I can concatenate it with a SQL query. Input and output are shown below. I must be missing something very basic, but I can't seem to pry the data ("2008-07-01") into a string variable. Any suggestions would be appreciated. Thank you, Andrew =====script: class(ts) (ts[1,0]) #returns

When I try to convert the zoo object to a timeSeries object, which would allow me to utilize Rmetrics packages, I get an error message. > Data<-read.zoo("c:\\DOWUBSPRICING.txt,na.strings="NA",sep="\t",header=T) > is(Data) "zoo" > as.timeSeries.zoo(Data) Error in .local (.Object, . ) Is this happening because I am using daily data?

Question on timeSeries and S4 classes: Consider the following: library(timeSeries) data <- rnorm(5) treg <- ts(data, frequency=4) t1 <- timeSeries(data, as.Date('2010-04-15') + 1:5) t2 <- as.timeSeries(treg) Now both t1 and t2 are timeSeries objects, yet t2 at ts is a valid slot, while t1 at ts is not. Thus the ts slot is optional. Sorry if I am misunderstanding the way S4

I have defined a daily timeseries for the 365 days of 2003 issuing: myts = ts(dati[,2:10],frequency=365,) > myts Time Series: Start = c(1, 1) End = c(1, 365) Frequency = 365 and mytime = as.POSIXct(strptime(as.character(dati[,1]),format="%Y-%m-%d")) contains the dates from "2003-01-01" to "2003-12-31" How can I combine mytime and myts in order to list