similar to: Testing invertibility of an AR model

I did a fourier transform on a function in time domain to get the following functions in frequency domain (in latex): $Y_1[\omega] = \frac{1}{1-\phi_1 e^{-jw}}$ $Y_2[\omega] = \frac{1}{1-(\phi_1 + \phi_2)e^{-jw} +\phi_1\phi_2e^{-2jw}}$ How do I find the spectrum of this function for given $\phi_1$ and $\phi_2$ coefficients and in the discretization interval $w = [-\pi:.1*\pi: \pi]$? Then, how

Hello! Is it possible to use R time series to identificate a process which is subjected to known input? I.e. I have 2 sequences - one is measurements of black box's state and the second is the "force" by which this black box is driven (which is known too) and I want to fit thist two series with AR-process. The "ar" procedure from stats package expects that the force is

Dear R People: Suppose I want to estimate the parameters of the following AR model: (1 - phi_1 B - phi_2 B^2 - phi_9 B^9) x_t = a_t and I want to use the arima0 command from the ts library. How would I use the order subcommand, please? R Version 1.4.1 for Windows. Thanks! Sincerely, Erin Hodgess Associate Professor Department of Computer and Mathematical Sciences University of Houston -

Tian It appears the attachment might not have worked so I'll embed Bill's message at the end. Peter Alspach > -----Original Message----- > From: r-help-bounces at stat.math.ethz.ch > [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Peter Alspach > Sent: Thursday, 17 August 2006 8:02 a.m. > To: T Mu; R-Help > Subject: Re: [R] confusing about contrasts concept

Hi, I tried adding the PHI nodes in BB_unique, and it works for the simple case described here, but in case the nodes were declared in some predecessors of ExitBB1 and used in ExitBB1_redirect and its successors, it won't work, unless I create entries for all of them in BB_unique. B1 (declares PHI_1) B3 | | B2

Hello, Apparently thanks to improvements to the R parser, this example from section 6.1 of the R Language Definition no longer holds. > deparse(quote(c(1, 2))) [1] "c(1, 2)" > deparse(1:2) [1] "c(1, 2)" Even running R-2.14.2, I get instead > deparse(1:2) [1] "1:2"

Hi all, I am looking for study resources for (financial) time series? Hopefully I could find video lectures then it will reduce the learning curve. Thanks a lot! [[alternative HTML version deleted]]

Dear Rers, I have threes series, x, y, z and I want to fit a model z ~ x + y. First of all, I fit a lm. I found the residuals are correlated, by looking at the acf() and pacf(). Then I tried to fit a gls model allowing residuals to be correlated (correlation = corARMA(p=5, q=1)): y.na <- as.data.frame(y[complete.cases(y),]) y.gls <- gls(z ~ x + y, data = y.na, correlation=corARMA(p=5,

Hi, I am learning R. I am using nlme function to my dataset. I am getting error "Coefficient matrix not invertible". I don't know how to fix this problem. > bcows1.nlme<-nlme(Temp~model(newTime, beta, delta, kappa), data= bcows.group, + fixed=beta+delta+kappa~1, + random=beta+delta+kappa~1, + start=list(fixed=c(coef(bcows.nls)[1],

Hi all, Hope you people do not feel irritated for repeatedly sending mail on Time series. Here I got another problem on the same, and hope I would get some answer from you. I have following dataset: data[,1] [1] 4.96 4.95 4.96 4.96 4.97 4.97 4.97 4.97 4.97 4.98 4.98 4.98 4.98 4.98 4.99 4.99 5.00 5.01 [19] 5.01 5.00 5.01 5.01 5.01 5.01 5.02 5.01 5.02 5.02 5.03 5.03 5.03

Good morning, (sorry for my english) i have some problems to put off by extimation ARIMA coefficients the ones not significatives. Exist a method to extimate only that significatives? i use the command: arima(). thanks to all Stefano [[alternative HTML version deleted]]

Thanks a lot to everybody that helped me out with this. Conclusions: (1) In order to edit arima in R: >fix(arima) or alternatively: >arima<-edit(arima) (2) This is not contained in the "Introduction to R" manual. (3) A "productive" fix of arima is attached (arma coefficients printed out and error catched so that it doesn't halt parent loops to search for

On Oct 11, 2010, at 9:05 AM, Xinfinity wrote: > > Hi, > > I am working on a pass aimed to unify multiple exits of a loop into a unique > basic block. The approach is straight forward: > I create a unique BasicBlock BB_unique that has as predecessors all the exit > blocks of the loop, it contains a phi instruction and a switch to redirect > the flow correctly.

Hi, I am working on a pass aimed to unify multiple exits of a loop into a unique basic block. The approach is straight forward: I create a unique BasicBlock BB_unique that has as predecessors all the exit blocks of the loop, it contains a phi instruction and a switch to redirect the flow correctly. Additionally, for each initial exit block I create an associated block that will jump to the

On the cover of Zivot and Wang's Modeling Financial Time Series with S Plus, there is a correlation plot that seems to indicate the strength of correlation with color-coded squares, so that more highly correlated stocks appear darker red. If anybody out there is familiar with the book or understands what I am talking about, I am curious as to whether or not there is a similar function in R

Greetings, I'm trying to lock files using a Debian GNU Linux (unstable) and Perl, but looks like the smbpasswd command from Samba is not respecting the lock. Perl has "advisory" file locking using C flock() or lockf() or fcntl(), depending which one is first available on the system. While this is not a Perl mailing list, I need to know which scheme Samba uses for file locking to

Hi all, Does anybody have the source code of stochastic volatility models in R or Matlab, for example, the Bayesian based or the simulation based SV estimations as described by Prof Eric Zivot in the following discussion? https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html -------------- I am wondering what is the current status of estimating stochastic vol models and what's

Dear all, S+Finmetrics has a number of very specilised functions. I am particularly interested in the estimation of cointegrated VARs (chapter 12 of Zivot and Wang). In this context the functions coint() and VECM() stand out. I looked at package "dse1", but found no comparable functionality. Are there any other packages you could point me to? In general, are there efforts for

On Thu, 2008-03-27 at 21:22 +0100, Óscar Fuentes wrote: > I'm all for hooks and delegation, but the problem here is that your > proposal is not general enough and is hard to generalize it. It does not > work for my project, for instance, although I face almost the same > requirements than you wrt dynamic generation. The symbol name is enough > for you, but not for me, and there

re [R] matrix^(-1/2) re the discussion in November on this thread. I don't know about expm but the problem must be equivalent to solve(B^(1/2)) and a solution will exist iff B is invertible and has a square root A with A%*%A = B. For 2x2 matrices necessary and sufficient conditions for B to have a square root are that either B = diag(0,2) or B%*%B != diag(0,2). This follows from the fact that