Displaying 20 results from an estimated 2000 matches similar to: "ARMA.predict?"
2003 Mar 07
24
Hello,
I am trying to use 'R' for K-means simulatio, could you please advise me how I can read my data into a two dimesional array? Or is there any method which directly reads the excell file? Please let me know asap.
Regards
Skanda Kallur
Cogito, Ergo Sum! Rene Descartes
2003 May 07
1
-means, hybrid clustering or similar implementations on R
Hi,
I would like to know if someone knows an extended implementation of k-means in R to find appropriate number of clusters for a given k-dimensional data.
Also, I am working on clustering for forecasting, if someone is interested or has knowledge on implementational details please mail me, I would appreciate it.
Regards
Skanda Kallur
"Cogito, ergo sum" (I think, therefore I
2004 May 20
1
Windows versus Unix packages in CRAN (Was Re: Rmetrics)
Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
mkdir fBasics
unzip fBasics.zip -d fBasics
rm fBasics/src/*.o
R CMD check fBasics
and that took me about 3 minutes.
Now me, I just did
unzip -a fBasics_190.10051.zip
R CMD INSTALL fBasics
rm -rf fBasics
in a naive and trusting manner. It took me considerably longer than 3
minutes to learn that this was what I should do, and
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
2006 Apr 26
1
garchFit from fSeries
Dear R People:
I'm trying to use the garchFit function from the library(fSeries)
However, R freezes every time that I use it.
Is anyone else having this problem, please?
Thanks in advance!
R Version 2.2.1 Windows.
Sincerely,
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgess at gator.uhd.edu
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
2006 Apr 26
2
garch in tseries
Hello again!
Is there a way to include a mean in the garch function in the
library(tseries), please?
I tried include.mean=T in the function statement but it didn't work
thanks in advance!
R Version 2.2.1 Windows
Sincerely,
Erin
mailto: hodgess at gator.uhd.edu
2005 Dec 13
1
fSeries
I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns:
data(EuStockMarkets)
eps = diff(log(EuStockMarkets[,"CAC"]))
library(fSeries)
g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd")
s = g at fit$series
All the coefficients are ok
2005 Dec 04
1
fSeries: garchOxFit - is really the example provided not runnig?
Dear R-helpers,
I have just loaded the fSeries package and I wanted to run the example provided in the documentation of garchOxFit but I got the following:
> library(fSeries)
> ?garchOxFit
> library(datasets)
> ?garchOxFit
> ## Not run:
> ## garchOxFit -
> # Load Benchmark Data Set:
> data(dem2gbp)
> x = dem2gbp[, 1]
>
2004 Jul 19
1
(no subject)
hello R experts,
my question is regarding arma modelling and specification.
in another older, statistics package , after determining stationarity, i would try to work out the number of ar and ma lags using an lm test.
to do this i would
1. regress my dependant variable on an intercept term then
2. use LM test for serial correlation, and finally
3. use the p value of the ols residuals to get
2005 Apr 20
2
fSeries Technical Analysis rsiTA problem
fSeries Technical Analysis rsiTA problem
Hello,
I?m trying to use the rsiTA() function but keep getting this error:
>rsiTA(tsx,14)
Error in "[.timeSeries"(close, 1:(length(close) - 1)) :
only 0's may be mixed with negative subscripts
Here?s is the first three lines of my data:
>tsx[1:3,]
close
2004-04-18 20:00:00 8702.82
2004-04-19
2004 Nov 06
1
calendar-based time-series in R
Hello,
I am trying to switch to R from S-PLUS 6.1, and one problem I am having is
using R for manipulation of calendar-based time-series. In S-PLUS, I
commonly use the functions timeSequence(), timeDate(), and timeSeries() to
align/average/aggregate data; and I also do a lot of plotting of
time-series data (with calendar-based labels on the x-axis).
I was wondering if anyone is familiar with
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
2007 Oct 22
1
Newbie help: Data in an arma fit
I'd like to fit an ARMA(1,1) model to some data (Federal Reserve Bank
interest rates) that looks like:
...
30JUN2006, 5.05
03JUL2006, 5.25
04JUL2006, N <---- here!
05JUL2006, 5.25
...
One problem is that holidays have that "N" for their data. As a test, I
tried fitting ARMA(1,1) with and without the holidays deleted. In other
words, I fit the above data
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!
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2008 May 21
3
Problem with R or fBasics Package (PR#11495)
I have a problem wirh R: After loding fBasics packages log funtion doesn't
work like as fallow:
Cenap ERDEMIR
Hacettepe University
Turkey
> log(20)
[1] 2.995732
> local({pkg <- select.list(sort(.packages(all.available = TRUE)))
+ if(nchar(pkg)) library(pkg, character.only=TRUE)})
Loading required package: fImport
Loading required package: fSeries
Loading required package: robustbase
2008 Aug 20
2
arma: what is the meaning of Pr(>|t|)?
In the summary of the output of arma, there's a number Pr(>|t|), however, I
don't know what is its meaning - at least, it doesn't _seem_ to be a
Student's t distribution.
Reproducible test case:
x <- c(0.5, sin(1:9))
reg <- arma(x, c(1,0))
summary(reg)
<output>
Call:
arma(x = x, order = c(1, 0))
Model:
ARMA(1,0)
Residuals:
Min 1Q Median 3Q
2006 Nov 07
1
Comparison between GARCH and ARMA
Dear all R user,
Please forgive me if my problem is too simple.
Actually my problem is basically Statistical rather
directly R related. Suppose I have return series ret
with mean zero. And I want to fit a Garch(1,1)
on this.
my is r[t] = h[i]*z[t]
h[t] = w + alpha*r[t-1]^2 + beta*h[t-1]
I want to estimate the three parameters here;
the R syntax is as follows:
#
2010 Aug 23
1
Fitting a regression model with with ARMA error
Hi,
I want to fit a regression model with one independent variable. The error
part should be fitted an ARMA process.
For example,
y_t = a + b*x_t + e_t where e_t is modelled as an ARMA process.
Please let me know how do I do this in R. What code should I use?
TIA
Aditya
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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