Displaying 20 results from an estimated 2000 matches similar to: "SARIMA with dynlm"
2007 Jan 16
1
SARIMA problem
Hi,
I have a problem with the ARIMA function, occuring when I set the parameter per (the period of SARIMA model) to a high value (see the exemple bellow). It seems that when per is high it takes a too large amount of memory to calculate the model and I have a memory storage error. But I don't really understand why it takes more memory when per is high, as there is the same number of
2010 Oct 29
1
SARIMA simulation using time series history
Hi,
I'm currently working with a SARIMA model from which I want to make
simulations. As I understand, neither sarima.Sim nor the functions in
the gsarima package use historic realizations of the time series to
simulate future values. However, I want to use historic values as
input and simulate future values based on the history. Anyone who know
whether such a function is available
2009 Apr 19
1
dynlm question: How to predefine formula for call to dynlm(formula) call
I want to set up a model with a formula and then run dynlm(formula)
because I ultimately want to loop over a set of formulas (see end of post)
R> form <- gas~price
R> dynlm(form)
Time series regression with "ts" data:
Start = 1959(1), End = 1990(4)
<snip>
Works OK without a Lag term
R> dynlm(gas ~ L(gas,1))
Time series regression with "ts" data:
Start =
2008 Oct 15
2
dynlm and lm: should they give same estimates?
Hi,
I was wondering why the results from lm and dynlm are not the same for what I think is the same model.
I have just modified example 4.2 from the Pfaff book, please see below for the code and results.
Can anyone tell my what I am doing wrongly?
Many thanks,
Werner
set.seed(123456)
e1 <- rnorm(100)
e2 <- rnorm(100)
y1 <- ts(cumsum(e1))
y2 <- ts(0.6*y1 + e2)
lr.reg <- lm(y2
2007 Apr 17
2
background color
hi,
I want to add different colors on the background of a classical plot. Each color is associated to an interval of the x axis.
example: the background is red on the interval [1,10], blue on [11,20].
I try the rect function but it isn't appropriate for the background.
Can any one can help me please?
best regards.
---------------------------------
[[alternative
2003 Apr 12
1
SARIMA
I'm trying to fit a SARIMA(p,d,q)x(P,D,Q) with seasonal period s to some data. When dealing with these types of models one often looks at the ACF and PACF of the time series at lags that are multiples of s, to identify potential values of P, Q. How would I do this in R given the original time series? Secondly given a time series x acf(x) just gives me the plot of the acf. How would I actually
2006 May 15
3
Dyn or Dynlm and out of sample forecasts
All:
How do I obtain one step ahead out-of-sample forecasts from a model
using "dyn" or "dynlm" ?
Thanks!
Best,
John
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2011 Jun 21
1
dynlm
Dear All,
I'm trying to use dynlm to fit a time series.
I have 3 seasonal terms. Here is an example of the problem.
This is my time variable, hourly data:
timeSeries <- seq(as.POSIXct("2011-01-01 00:00:00"), as.POSIXct("2011-12-31 23:00:00"), by="hour")
My response
is:
y <- rnorm(length(t), 1000, 500)
There are 3 seasonal factors:
t.h <-
2013 Apr 15
1
use of simulate.Arima (forecast package)
I would like to simulate some SARIMA models, e.g. a SARIMA (1,0,1)(1,0,1)[4] process.
I installed the package 'forecast', where the function simulate.Arima should do what I am trying to do.
I am not able to understand how it works
Could somebody help me with an example?
thank you
Stefano Sofia
AVVISO IMPORTANTE: Questo messaggio di posta elettronica pu? contenere informazioni
2012 Mar 29
1
how to increase speed for function?/time efficiency of below function
i am using sarima() function as below
___________________________________________________________________________________________
sarima=function(data,p,d,q,P=0,D=0,Q=0,S=-1,tol=.001){
n=length(data)
constant=1:n
xmean=matrix(1,n,1)
if (d>0 & D>0)
fitit=arima(data, order=c(p,d,q), seasonal=list(order=c(P,D,Q),
period=S),
2012 Aug 27
0
How can I find the principal components and run regression/forecasting using dynlm
Hello,
I would like to write a program that compute the principal components of
a set of data and then
1. Run the dependent variable against the principal components (lagged
value)
2. Do prediction
, following Stock and Watson (1999) "Forecasting Inflation". All data
are time series.
Now I can run the program using single factor (first principal
component), but I
2013 Feb 26
1
problem with nested loops
Each of the data sets contains monthly observations on price indices for 7 countries. I use the fitted values from reg1 in the reg2 model. The interior loop executes without error as long as I explicitly specify the data set, i.e. data=dat70. However the code fails to execute if I specify the model in the form of the commented line, i. e reg1 <-dynlm(form1,data=Dnames[j])
I get the following
2008 Jan 28
0
dynlm: new version 0.2-0
Dear useRs,
I've release a new version of the "dynlm" package to CRAN which adds two
new features:
o instrumental variables regression (two-stage least squares) via
formulas like
dynlm(y ~ x1 + x2 | z1 + z2 + z3, data = mydata)
where z1, z2, z3 are the instruments which can again contain
lags/differences/season via the d()/L()/season() operators.
o
2009 Nov 23
2
dynlm predict with newdata?
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2006 Jul 26
1
arima() function - issues
Hi,
My query is related to ARIMA function in stats package.
While looking for the time series literature I found following link which
highlights discrepancy in "arima" function while dealing with
differenced time series. Is there a substitute function similar to
"sarima" mentioned in the following website implemened in R? Any pointers would
be of great help.
2011 Sep 09
2
Different results with arima in R 2.12.2 and R 2.11.1
Hello , I have estimated the following model, a sarima:
p=9
d=1
q=2
P=0
D=1
Q=1
S=12
In R 2.12.2
Call:
arima(x = xdata, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
period = S),
optim.control = list(reltol = tol))
Coefficients:
ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8
ar9
0.3152 0.8762 -0.4413 0.0152 0.1500 0.0001 -0.0413 -0.1811
2007 Apr 20
0
help for dynlm command
Suppose we have the time series “y”
When I regress this series on its first lag then I use the following command in dynlm as
r=dynlm( y~L(y,1))
if I put the command of summary of above regression model then by the command
summary (r )
I will get the following out put elements
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) __
2005 Apr 28
0
new package: dynlm 0.1-0
Dear useRs,
recently, there were several discussions on R-help about how to
conveniently fit dynamic linear models and time series regressions. The
package dynlm tries to address this problem by 1. providing some more
functions like lags L() and differences d() and season() in the formula
specification of a model and 2. preserving the time series attributes of
the data.
A first version of the
2005 Apr 28
0
new package: dynlm 0.1-0
Dear useRs,
recently, there were several discussions on R-help about how to
conveniently fit dynamic linear models and time series regressions. The
package dynlm tries to address this problem by 1. providing some more
functions like lags L() and differences d() and season() in the formula
specification of a model and 2. preserving the time series attributes of
the data.
A first version of the
2008 Aug 02
0
SARIMA Model confrimation
Hi..
R Program is shown ARIMA output as below then SARIMA equation is be
(1 - 0.991B^{12})z_t + 43.557 = (1+0.37B)(1-0,915B^{12})a_t
But I try to calculate it by manual . It look like it 's big different from R sofeware,
I am not sure this equation is correct or not . PLS supoort me to confirm it
Arima Model ( 0,0,1)(1,0,1)
No Transformation
Constant >> 43.557 , t = 10.09