Displaying 20 results from an estimated 4000 matches similar to: "ARMA and ARIMA modeling"
2001 Oct 11
2
Where's MVA?
Hi All:
Package TSERIES is stated to depend on MVA. However, there is no MVA package to be found under the list of package sources.
Best wishes,
ANDREW
tseries: Package for time series analysis
Package for time series analysis with emphasis on non-linear and non-stationary modelling Version: 0.7-6
Depends: ts, mva, quadprog
Date: 2001-08-27
Author: Compiled by Adrian
1999 Jul 14
1
tseries package -- license
Thanks a lot for "tseries"!
The new (0.1-2) version of the tseries package
contains the following in ./README :
>> Author(s): A. Trapletti <A.Trapletti@ci.tuwien.ac.at>,
>> B. LeBaron ("./src/bdstest.c"),
>> K. Krischer, and T. M. Kruel ("./src/muin2ser.f",
>> "./misc/mutinfo-1.21b.tar.gz")
>>
2005 Dec 23
1
dse package problems
I am having problems with the package dse. I just installed R 2.2.1
and reinstalled all packages. I am running Windows XP Pro with all
updates.
Below there are two examples of error messages generated when trying
to execute some simple programs. The code was taken directly from the
package documentation.
Any help on this will be greatly appreciated.
Merry Christmas
Fernando
2005 Jun 14
1
using forecast() in dse2 with an ARMA model having a trend component
(My apologies if this is a repeated posting. I couldn't find any trace
of my previous attempt in the archive.)
I'm having trouble with forecast() in the dse2 package. It works fine
for me on a model without a trend, but gives me NaN output for the
forecast values when using a model with a trend. An example:
# Set inputs and outputs for the ARMA model fit and test periods
2000 Dec 30
3
ARIMA
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
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1999 Jul 27
2
Memory profiling/benchmarking
Hi,
As a project for a computer performance analysis paper I am taking this semester,
I am going to look at the performance of the memory manager in R, with the aim of
determining how fast it is and which areas most need improvement. The idea is
that I will compare various versions of R, starting with 0.64.2, and then at a
few stages in the implementation of the new memory management scheme (of
2011 May 08
1
ARMA
Hello,Could somebody tell me what is the difference between theese 3 calls of functionsarma(x,order=c(1,0)), arima(x,order=c(1,0,0)) ar(x,order=1)?I expected same residuals of theese three models,but unexpectably for the first two R requiredinitial value of something (what?)...Thanks in advance!
[[alternative HTML version deleted]]
2002 Aug 05
1
Modified ARMA function
R-guRus ,
ARMA function in tseries, seems to be calculating the AR coeff 's as
coef <- lm(xx[,1]~xx[,lag$ar+1])$coef [*snipped* from around line
77,]
I'd like to modify this model with another term somewhat in these lines
lm(xx[,1] ~xx[,lag$ar+1]+mvgsignal)$coef
where mvgsignal is a moving average signal based on some indicators, the
question
is could i simply hack into
2003 May 16
3
ARMA.predict?
Hi there,
Does anyone know how to predict ARMA? It doesn?t have either predict or forecast methods. I found couple of packages called fbasic and fseries at http://www.itp.phys.ethz.ch/econophysics/R/, which has ?arma.predict? in it, but it doesn?t seem to be working. Any help in this regard would be appreciated. Thanks in advance.
Regards
Skanda Kallur
"Prediction is very difficult,
2008 Mar 21
1
tseries(arma) vs. stats(arima)
Hello,
The "arma" function in the "tseries" package allows estimation of models
with specific "ar" and "ma" lags with its "lag" argument.
For example: y[t] = a[0] + a[1]y[t-3] +b[1]e[t-2] + e[t] can be estimated
with the following specification : arma(y, lag=list(ar=3,ma=2)).
Is this possible with the "arima" function in the
2005 Jul 11
2
Misbehaviour of DSE
Folks,
I am finding problems with using "dse":
> library(dse1)
Loading required package: tframe
Error: c("package '%s' required by '%s' could not be found", "setRNG", "dse1")
> library(dse2)
Loading required package: setRNG
Error: package 'setRNG' could not be loaded
In addition: Warning message:
there is no package called
2023 May 31
1
error in arfima...
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:
2011 Jul 01
1
How to fit ARMA model
Hello,
I am having some problems with fitting an ARMA model to my time series data
(randomly generated numbers). The thing is I have tried many packages
[tseries, fseries, FitARMA etc.] and all of them giving very different
results. I would appreciate if someone could post here what the best package
is for my purpose.
Also, after having done the fitting, I would like to check for the model's
2009 Oct 13
1
How to specify an ARMA(1, [1,4]) model?
Hi,
I'm trying to model an ARMA(1,[1,4]),
i.e. I want only lags 1 and 4 of the Moving Average part.
It's the '[1,4]' part that is giving me a problem.
I've tried different arma's and arima's in different packages, namely:
packages tseries, fArma, FinTS, timeSeries, TSA, Zelig, ds1, forecast
For example, with package FinTS:
> ( ARIMA(y, order=c(1,0,c(1,4))) )
2004 Jul 25
1
Multivariate ARMA Model
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
2023 Jun 01
1
error in arfima...
>>>>> 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,
2005 Mar 10
4
dealing with package bundles (was RE: Gregmisc)
Given the confusions that some users have regarding package bundles, I'd
like to suggest some changes to how package bundles are handled.
My understanding is that a package bundle is essentially a convenient way to
distribute related packages, so that users can download/install them in one
shot. However, some users apparently get confused that one can do
install.packages("abundle")
2005 Mar 10
4
dealing with package bundles (was RE: Gregmisc)
Given the confusions that some users have regarding package bundles, I'd
like to suggest some changes to how package bundles are handled.
My understanding is that a package bundle is essentially a convenient way to
distribute related packages, so that users can download/install them in one
shot. However, some users apparently get confused that one can do
install.packages("abundle")
2013 Apr 29
1
Arma - estimate of variance of white noise variables
Hi all,
Suppose I am fitting an arma(p,q) model to a time series y_t.
So, my model should contain (q+1) white noise variables.
As far as I know, each of them should have the same variance.
How do I get the estimate of this variance by running the arma(y) function
(or is there any other way)?
Appreciate your help.
Thanks,
Preetam
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year,
1999 Jul 19
9
time series in R
Time Series functions in R
==========================
I think a good basic S-like functionality for library(ts) in base R
would include
ts class, tsp, is.ts, as.ts
plot methods
start end window frequency cycle deltat
lag diff aggregate
filter
spectrum, spec.pgram, spec.taper, cumulative periodogram, spec.ar?
ar -- at least univariate by Yule-Walker
arima -- sim, filter, mle, diag, forecast