Displaying 20 results from an estimated 800 matches similar to: "marginal distribution wrt time of time series ?"
2010 Nov 07
3
Computing ergodic mean with CODA
Hi all,
I would like to compute ergodic mean using MCMC output from WinBUGS. I
tried using CODA package, but it seems that it is not implemented yet.
Could anyone help me to compute this? Attached to this email are my
output and index files.
Kind regards,
Raquel
--
Raquel Rangel de Meireles Guimar?es
Doutoranda em Demografia
raquel at cedeplar.ufmg.br
2007 May 08
2
statistics/correlation question NOT R question
This is not an R question but if anyone can help me, it's much
appreciated.
Suppose I have a series ( stationary ) y_t and a series x_t ( stationary
)and x_t has variance sigma^2_x and epsilon is normal
(0, sigma^2_epsilon )
and the two series have the relation
y_t = Beta*x_t + epsilon
My question is if there are particular values that sigma^2_x and
sigma^2_epsilon have to take in
2008 Jul 21
2
avoid loop with three-dimensional array
Dear R user,
I'm trying to find a solution for optimizing my code. I have to run a 50.000
iteration long simulation and it is absolutely necessary to have an
optimized code.
I have to do this operation
*sum_t ( t(X_t) %*% A %*% X_t )*
where X_t is a (d*k) matrix which changes in time and A is a constant in
time (d*d) matrix.
I have put all my X_t in a three dimensional array X of dimension
2000 Apr 04
0
stochastic process transition probabilities estimation
Hi all,
I'm new with R (and S), and relatively new to statistics (I'm a
computer scientist), so I ask sorry in advance if my question is silly.
My problem is this: I have a (sample of a) discrete time stochastic
process {X_t} and I want to estimate
Pr{ X_t | X_{t-l_1}, X_{t-l_2}, ..., X_{t-l_k} }
where l_1, l_2, ..., l_k are some fixed time lags. It will be enough for
me to compute
2007 Sep 13
5
statistics - hypothesis testing question
I estimate two competing simple regression models, A and B where the LHS
is the same in both cases but the predictor is different (
I handle the intercept issue based on other postings I have seen ). I
estimate the two models on a weekly basis over 24 weeks.
So, I end up with 24 RSquaredAs and 24 RsquaredBs, so essentally 2 time
series of Rsquareds. This doesn't have to be necessarily thought
2017 Jun 20
1
How to write an estimated seasonal ARIMA model from R output?
I'm trying to use the following command.
arima (x, order = c(p,d,q), seasonal =list(order=c(P,D,Q), period=s)
How can I write an estimated seasonal ARIMA model from the outputs. To be specifically, which sign to use? I know R uses a different signs from S plus.
Is it correct that the model is:
(1-ar1*B-ar2*B^2-...)(1-sar1*B^s-sar2*B^2s-....)(1-B)^d(1-B^s)^D
2011 Feb 02
1
Acf of Frima
Hello,
I am trying to calculate the autocovariance matrix for any general
farima(p,d,q) with
p,q > 1. Could anyone give an idea how to implement in R or if there
is any package for this?
thank you beforehand.
Jose.
2007 Jul 06
1
algebra/moving average question - NOTHING TO DO WITH R
This has ABSOLUTELY nothing to do with R but I was hoping that someone
might know because there are obviously a lot of very bright people on
this list.
Suppose I had a time series of data and at each point in time t, I was
calculating x bar + plus minus sigma where x bar was based on a
moving window of size n and so was sigma.
So, if I was at time t , then x bar t plus minus sigma_t would be
2007 May 21
1
Sample correlation coefficient question NOT R question
This is a statistics question not an R question. When calculating the
sample correlation coefficient cor(x_t,y_t) between say
two variables, x_t and y_t t=1,.....n ( one can assume that the
variables are in time but I don't think this really matters
for the question ), does someone know where I can find any piece of
literature that says that each (x_j,y_j) pair has
To be independent from the
2005 Jul 26
3
farimaSim
Hello!
I installed the fSeries package to get some farima time-series which i tried
with farimaSim, but unfortunately i got always an error. I tried it this way:
> farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), method="freq")
Error in farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), :
... used in an incorrect context
Some ideas?
Regards,
___
2007 Mar 05
1
Heteroskedastic Time Series
Hi R-helpers,
I'm new to time series modelling, but my requirement seems to fall just
outside the capabilities of the arima function in R. I'd like to fit an
ARMA model where the variance of the disturbances is a function of some
exogenous variable. So something like:
Y_t = a_0 + a_1 * Y_(t-1) +...+ a_p * Y_(t-p) + b_1 * e_(t-1) +...+ b_q *
e_(t-q) + e_t,
where
e_t ~ N(0, sigma^2_t),
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
2008 Jul 22
1
help with simulate AR(1) data
Hi, sorry for bothering your guys again.
I want to simulate 100 AR(1) data with cor(x_t, x_t-1)=rho=0.3. The mean of
the first 70 data (x_1 to x_70) is 0 and the mean of the last 30 data (x_71
to x_100) is 2. Can I do it in the following way?
x <- arima.sim(list=(ar=0.3), 100)
mean <- c(rep(0, 70), rep(2, 30))
xnew <- x+mean
If the above code to simulate 100 AR(1) data is right, what
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
2010 Aug 13
2
How to compare the effect of a variable across regression models?
Hello,
I would like, if it is possible, to compare the effect of a variable across
regression models. I have looked around but I haven't found anything. Maybe
someone could help? Here is the problem:
I am studying the effect of a variable (age) on an outcome (local recurrence:
lr). I have built 3 models:
- model 1: lr ~ age y = \beta_(a1).age
- model 2: lr ~ age + presentation
2009 Jun 19
1
using garchFit() to fit ARMA+GARCH model with exogeneous variables
Hello -
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t where \epsilon_t are i.i.d. random
variables
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta
2002 Apr 09
2
Restricted Least Squares
Hi,
I need help regarding estimating a linear model where restrictions are imposed on the coefficients. An example is as follows:
Y_{t+2}=a1Y_{t+1} + a2 Y_t + b x_t + e_t
restriction
a1+ a2 =1
Is there a function or a package that can estimate the coefficient of a model like this? I want to estimate the coefficients rather than test them.
Thank you for your help
Ahmad Abu Hammour
--------------
2012 Oct 11
2
ccf(x,y) vs. cor() of x and lagged values of y
Hi
I'm computing the correlation between two time-series x_t and y_t-1
(time-series lagged using the lag(y,-1) function) using the cor() function
and the returned value is different from the value of ccf() function at the
same lag. Any ideas why this is so?
Thanks in advance for any hints.
Mihnea
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2004 Nov 16
1
lme, two random effects, poisson distribution
Hello,
I have a dataset concerning slugs. For each slug, the number of
pumps per one time slot was counted. The number of pumps follows
Bi(30, p) where p is very small, thus could be approximated by
Poisson dist. (# of pumps is very often = 0)
The slugs were observed during 12 time slots which are correlated in
time as AR(1). The time slots are divided into two categories:
Resting time
2003 Dec 02
2
model of fish over exploitation
Dear all,
I have a serious problem to solve my model. I study over exploitation of
fish in the bay of biscay (france). I know only the level of catch and
the fishing effort (see data below) by year.
My model is composed by the following equations:
* the growth function
Gt(St) = r*St*(1-St/sbar)
with Gt the growth of each period t
r intrinsec growth of the stock
sbar carriyng capacity of the