Displaying 20 results from an estimated 900 matches similar to: "autoregressive poisson process"
2009 Apr 26
1
simulate arima model
I am new in R.
I can simulate Arma, using Arima.sim
However, I want to simulate an Arima Model. Say (1-B)Zt=5+(1-B)at. I do not
know how to deal with 5 in this model.
Can any one could help me?
Thank you very much!
Regards,
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2008 Nov 19
2
simulation of autoregressive process
Dear R users,
I would like to simulate, for 20000 replications, an autoregressive process: y(t)=0.8*y(t-1)+e(t) where e(t) is i.i.d.(0,sigma*sigma),
Thank you in advance
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2007 Aug 07
1
Functions for autoregressive Regressionmodels (Mix between times series and Regression Models) ?
Hello everybody,
I've a question about "autoregressive Regressionmodels".
Let Y[1],.....,Y[n], be a time series.
Given the model:
Y[t] = phi[1]*Y[t-1] + phi[2]*Y[t-1] + ... + phi[p]*Y[t-p] + x_t^T*beta + u_t,
where x_t=(x[1t],x[2t],....x[mt]) and beta=(beta[1],...,beta[m]) and u_t~(0,1)
I want to estimate the coefficients phi and beta.
Are in R any functions or packages for
2010 Mar 01
2
Simple Linear Autoregressive Model with R Language
Hello -
I need to do simple linear autoregressive model with R software for my
thesis. I looked into all your documentation and I am not able to find
anything too helpful. Can someone help me with the codes?
Thanks
Emil
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2011 May 04
1
Instrumental variable quantile estimation of spatial autoregressive models
Dear all,
I would like to implement a spatial quantile regression using instrumental variable estimation (according to Su and Yang (2007), Instrumental variable quantile estimation of spatial autoregressive models, SMU economics & statistis working paper series, 2007, 05-2007, p.35 ).
I am applying the hedonic pricing method on land transactions in Luxembourg. My original data set contains
2008 Feb 15
1
Conditional Autoregressive (CAR) model simulation
Hi all !
I would like to simulate spatial lattice/areal data with a conditional
autoregressive (CAR) structure, for a given neighbouring matrix and for a
autocorrelation "rho".
Is there any package or function in R to perform it ?
I found the function "CARsimu" in the hdeco library, but this is not what
I'm looking for
Thanks in advance
Dae-Jin
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2006 Mar 02
1
Autoregressive Model with Independent Variable
Hey, all, I may just be missing something, but I'm trying to construct
a temporal autoregression with an independant variable other than just
what is happened at a previous point in time. So, the model structure
would be something like
y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a*x(t)
I'm even considering a model of
y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a1*x(t)+a2*x(t-1)...
So, my data looks like
2012 Jun 15
1
Replication of linear model/autoregressive model
Hi,
I would like to make a replication of 10 of a linear, first order
Autoregressive function, with respect to the replication of its innovation,
e. for example:
#where e is a random variables of innovation (from GEV distribution-that
explains the rgev)
#by using the arima.sim model from TSA package, I try to produce Y
replicates, with respect to every replicates of e,
#means for e[,1], I want
2002 Aug 29
8
lme() with known level-one variances
Greetings,
I have a meta-analysis problem in which I have fixed effects
regression coefficients (and estimated standard errors) from identical
models fit to different data sets. I would like to use these results
to create pooled estimated regression coefficients and estimated
standard errors for these pooled coefficients. In particular, I would
like to estimate the model
\beta_{i} = \mu +
2011 Jul 27
0
Conditional Autoregressive Value at Risk (CAViaR)
Hi,
I am trying to replicate Engle and Manganelli's paper Conditional
Autoregressive Value at Risk (CAViaR) by Regression Quantiles. I have the
Matlab code which I cannot get to work as I have never used Matlab before,
does anyone know if there is the same code available to estimate the CAViaR
models in R?
Thanks,
Shane
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2012 Jul 07
0
regressor & autoregressive error?
Hello,
I am using R for fitting parameters of a time series model.
The model is as below.
Y(t) = mu + a*X(t) + YN(t)
where YN(t) = b*YN(t-1) + innovation
and Z(t) follows N(0,1).
The main obstacle for me is the autoregressive error term, YN(t).
I can't figure out how to estimate the parameters (mu, a, b) with usual
'arima' function in R.
What I have tried is....
1. Do the
2010 Jun 22
0
How to generate an autoregressive distributed lag model?
Dear All,
I have a short question.
Is there any readily available function that could generate either an ARMAX model or, more generally, an
AutoRegressive Distributed Lag model?
I am looking for a function that is similar to armaSim() function in fArma package.
Thank you.
MP
2010 Aug 17
0
semiparametric fractional autoregressive model
folks,
does anyone know if the SEMIFAR model has been implemented in R? i see that there's a S-FinMetrics function SEMIFAR() that does the job, but I have no access to that software. essentially, this semiparametric fractional autoregressive model introduces a deterministic trend to the FARIMA(p,d,0) model (which, as i understand it, takes care of the random trend and short and long memory).
2011 Jan 12
0
Multivariate autoregressive models with lasso penalization
I wish to estimate sparse causal networks from simulated time series data.
Although there's some discussion about this problem in the literature (at
least a few authors have used lasso and l(1,2) regularization to enforce
sparsity in multivariate autoregressive models, e.g.,
http://user.cs.tu-berlin.de/~nkraemer/papers/grplasso_causality.pdf), I
can't find any R packages with these
2018 Apr 18
0
mgcv::gamm error when combining random smooths and correlation/autoregressive term
I am having difficulty fitting a mgcv::gamm model that includes both a random smooth term (i.e. 'fs' smooth) and autoregressive errors. Standard smooth terms with a factor interaction using the 'by=' option work fine. Both on my actual data and a toy example (below) I am getting the same error so am inclined to wonder if this is either a bug or a model that gamm is simply unable
2010 Oct 20
0
autoregressive functions
Hi all,
I am sorry for bothering the list, but I hope one of its members can help me.
Currently I am doing a spectral analysis with the help of R. The spectral density I have calculated as follows:
(The vector q contain some testing numbers.)
> q <- c(28,28,26,19,16,24,26,24,24,29,29,27,31,26,38,23,13,14,28,19,19,17,22,2,4,5,7,8,14,14,23,23)
> N <- length(q)
> Fourier <-
2012 Aug 07
0
Bayesian estimates for the 1st-order Spatial Autoregressive model
Greetings:
I am a relatively new user to R. I was wondering if anyone is familiar with MATLAB's far_g() function. If yes, is there an R equivalent to this? I would like to have the ability to input as my observation vector continuous values. I noticed that there was something close in R, sar_probit_mcmc(), but I can only use a binary vector as my observation vector.
If my
2010 Nov 15
0
first-order integer valued autoregressive process, inar(1)
Hello,
in my doctoral thesis i try to model time series crash count data with
an inar(1)-process, but i have a few problems in writing the r-code.
is there someone, who works with inar-processes. i would be very
grateful, if someone gives me some ideas in writing the code.
nazli
2006 Mar 09
0
Multivariate Autoregressive Model calibration and residual testing
Hi,
I am using the mAr package to calibrate an Multivariate model (size 3,
order 12). I am trying to do the two following things:
1. I would like to calibrate the model using not a single time
series, but several of them: each time series should be seen as one
"independent" realisation of the mAr process; for instance this happens
when you have a time series with lacking data
2007 Mar 14
0
Question about testing cointegration using Autoregressive distributed Model (ADL)
Hi,I'm just wondering if there is any package for testing cointegration with ADL model. I saw a bunch of packages and list of email thread. There seemed to be no such a specific method. I am following this paper on how to test using ADL but I don't have a tool. http://www.wiwi.uni-frankfurt.de/~hassler/ha-wo.pdfAny help would be really appreciated. Thank you.Taco
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