similar to: Observation error in arima

Displaying 20 results from an estimated 6000 matches similar to: "Observation error in arima"

2003 Jan 09
2
using arima() function
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
2009 Oct 22
1
arima crashes too
Another pathological test. arima does not crash for that series that crashes arma: arima(c(2.01, 2.22, 2.09, 2.17, 2.42), order=c(1,0,0)) However, arima crashes for this: arima(c(1.71, 1.78, 1.95, 1.59, 2.13), order=c(1,0,0)) arima seems pretty consistent in its crashing behaviour, since crashing for one series means crashing for all affine series: lets.crash.arima <- c(71, 78, 95, 59,
2003 Apr 07
1
filtering ts with arima
Hi, I have the following code from Splus that I'd like to migrate to R. So far, the only problem is the arima.filt function. This function allows me to filter an existing time-series through a previously estimated arima model, and obtain the residuals for further use. Here's the Splus code: # x is the estimation time series, new.infl is a timeseries that contains new information # a.mle
2007 Jan 16
2
ARIMA xreg and factors
I am using arima to develop a time series regression model, I am using arima b/c I have autocorrelated errors. Several of my independent variables are categorical and I have coded them as factors . When I run ARIMA I don't get any warning or error message, but I do not seem to get estimates for all the levels of the factor. Can/how does ARIMA handle factors in xreg? here is some example
2012 Apr 26
1
Using the R predict function to forecast a model fit with auto.arima function
Hello R users, Hope everyone is doing great. I have a dataset that is in .csv format and consists of two columns: one named Period (which contains dates in the format yyyy_mm) and goes from 1995_10 to 2007_09 and the second column named pcumsdry which is a volumetric measure and has been formatted as numeric without any commas or decimals. I imported the dataset as pauldataset and made use of
2004 May 02
1
arima problems when using argument fixed=
As I am reading ?arima, only NA entries in the argument fixed= imports. The following seems to indicate otherwise: x <- arima.sim(model=list(ar=0.8), n=100) + (1:100)/50 > t <- 1:100 > mod1 <- lm(x ~ t) > > init1 <- c(0, coef(mod1)[2]) > fixed1 <- c(as.numeric(NA), 0) > > arima(x, order=c(1,0,0), xreg=t, include.mean=FALSE, init=init1, fixed=fixed1)
2009 Jun 05
1
Bug in print.Arima and patch
Dear List, A posting to R-Help exposed this problem with the print method for objects of class Arima: > set.seed(1) > x <- arima.sim(n = 100, list(ar = 0.8897, ma = -0.2279)) > mod <- arima(x, order = c(1,0,1)) > coefs <- coef(mod) > mod2 <- arima(x, order = c(1,0,1), fixed = coefs) > mod2 Call: arima(x = x, order = c(1, 0, 1), fixed = coefs) Coefficients: Error
2006 Oct 19
1
predict.Arima question
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
2010 Aug 19
1
How to include trend (drift term) in arima.sim
I have been trying to simulate from a time series with trend but I don't see how to include the trend in the arima.sim() call. The following code illustrates the problem: # Begin demonstration program x <- c(0.168766559, 0.186874000, 0.156710548, 0.151809531, 0.144638812, 0.142106888, 0.140961714, 0.134054659, 0.138722419, 0.134037018, 0.122829846, 0.120188714,
2011 Jul 07
3
AR vs ARIMA question
Dear R People: Here is some output from AR and ARIMA functions: > xb <- arima.sim(n=120,model=list(ar=0.85)) > xb.ar <- ar(xb) > xb.ar Call: ar(x = xb) Coefficients: 1 0.6642 Order selected 1 sigma^2 estimated as 1.094 > xb.arima <- arima(xb,order=c(1,0,0),include.mean=FALSE) > xb.arima Call: arima(x = xb, order = c(1, 0, 0), include.mean = FALSE)
2008 Jan 11
1
question about xreg of arima
Hi, I am trying to understand exactly what xreg does in arima. The documentation for xreg says:"xreg Optionally, a vector or matrix of external regressors, which must have the same number of rows as x." What does this mean with regard to the action of xreg in arima? Apparently somehow xreg made the following two arima fit equivalent in R: arima(x, order=c(1,1,1), xreg=1:length(x)) is
2002 Apr 03
1
predict.Arima fails when x is not a time-series
I'm playing with predict.Arima in the 3/19/02 development snapshot of R-devel. The following produces an error message because x is not of class "ts": R> x <- rnorm(20) R> obj <- arima(x, c(2,0,0)) R> predict(obj) Error in round(x, digits) : Non-numeric argument to mathematical function Granted the documentation for arima says x should be a time-series, but
2004 May 24
1
Null model for arima.sim().
In some time series simulations I'm doing, I occasionally want the model to be ``white noise'', i.e. no model at all. I thought it would be nice if I could fit this into the arima.sim() context, without making an exceptional case. I.e. one ***could*** do something to the effect if(length(model)==0) x <- rnorm(n) else x <- arima.sim(model,n) but it would be more suave if one
2003 Dec 08
2
test for arima coef's significancy
Dear sirs, I would like to know if there is a function to compute the pvalue for the significancy of arima coef in an arima object created by the arima function. I have written this one: pvalueArima<-function(x,arima) { t<-(arima$coef)/(diag(arima$var.coef)^0.5) df<-length(x)-length(arima$coef) 1-pt(t,df) } Has somebody already implemented something equivalent ? thank you for your
2013 Mar 30
1
vcovHC and arima() output
Dear all, how can I use vcovHC() to get robust/corrected standard errors from an arima() output? I ran an arima model with AR(1) and got the estimate, se, zvalue and p-value using coeftest(arima.output). However, I cannot use vcovHC(arima.output) to get corrected standard errors. It seems vcovHC works only with lm and plm objects? Is there another way I can get robust/corrected
2007 Aug 23
1
Estimate Intercept in ARIMA model
Hi, All, This is my program ts1.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.7)), n = 200) ts2.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.5)), n = 200) tdata<-ts(c(ts1.sim[-1],ts2.sim[-1])) tre<-c(rep(0,200),rep(1,200)) gender<-rbinom(400,1,.5) x<-matrix(0,2,400) x[1,]<-tre x[2,]<-gender fit <- arima(tdata, c(1, 1, 0), method = "CSS",xreg=t(x))
2008 Jul 12
1
Help with arima.sim
Hey, as a bloddy beginner in R I want to simulate a Arima (2,1,0) process with R. My problem is, that I don't know how to specify the AR. For a ARIMA(1,1,0) I use the following syntax: S <- arima.sim(list(order=c(1,1,0), ar=0.9), n=100). I think it is a stupid question with an easy answer. But when I google the only results are arima.sim for an ARIMA (1,1,0). Regards, Chris --
2012 Aug 01
1
Odd Results when using R's auto.arima function
Good morning everyone, I have attached an Excel file that contains a macro from which I call and use R's auto.arima function to generate forecasts. The program runs perfectly and it gets me the results; however, those results are pretty unusual. I also tried using the auto.arima function directly in the R console and still get weird results. The results are shown in columns AB, AC and AD
2007 Mar 16
3
ARIMA standard error
Hi, Can anyone explain how the standard error in arima() is calculated? Also, how can I extract it from the Arima object? I don't see it in there. > x <- rnorm(1000) > a <- arima(x, order = c(4, 0, 0)) > a Call: arima(x = x, order = c(4, 0, 0)) Coefficients: ar1 ar2 ar3 ar4 intercept -0.0451 0.0448 0.0139 -0.0688 0.0010 s.e.
2005 Oct 10
1
using innov in arima.sim
Hello, I have used the arima.sim function to generate a lot of time series, but to day I got som results that I didn't quite understand. Generating two time series z0 and z1 as eps <- rnorm(n, sd=0.03) z0 <- arima.sim(list(ar=c(0.9)), n=n, innov=eps) and z1 <- arima.sim(list(ar=c(0.9)), n=n, sd=0.03), I would expect z0 and z1 to be qualitatively similar. However, with n=10 the