Displaying 20 results from an estimated 2000 matches similar to: "ARIMA second order differencing problem"
2009 Mar 05
3
Time Series - ARIMA differencing problem
Hi,
I have been using this website (
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm ) to help me to fit ARIMA
models to my data. At the moment I have two possible methods to use.
Method 1
If I use
arima(ts.data, order=c(1,2,0), xreg=1:length(ts.data))
then the wrong value for the intercept/mean is given (checked on SPSS and
Minitab) and
2011 Jun 30
0
CCF of two time series pre-whitened using ARIMA
Hi all,
I have two time series that I would like to correlate but as they are
autocorrelated, I am "pre-whitening" them first by fitting ARIMA models,
then correlating their residuals....as described in
https://onlinecourses.science.psu.edu/stat510/?q=node/75
However, http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm discusses some
issues with ARIMA in R. In particular, for issue 2, if
2009 Nov 09
0
ARIMA, xreg and intercepts
David Stoffer describes some challenges with R's output when fitting
ARIMA models for different orders (see Issue 2 at
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm). R doesn't fit an
intercept in the model if there is any differencing. David describes a
workaround using the xreg parameter to force R to calculate an
intercept.
Assume I have a variable y and 3 explanatory variables a,
2006 Apr 03
0
Problems with arima function (PR#8743)
I have written before, but to no avail. I have found two minor
problems with fitting time series models with R. The thing is, they
may be solved with MINOR adjustments to the code.
I have posted these problems with detailed examples here:
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
Briefly, the problems are
(1) When fitting time series models when there is an AR term present,
the
2010 Jul 06
0
Differencing with auto.arima and xreg
I am having some issues with differencing using auto.arima when also
specifying an xreg dataframe.
The xreg dataframe contains dummy variables that specify time periods that
had a promotion running.
When I model diff(y) with order (1,0,1), the coefficients for these dummy
variables are very different than when I model y with order=(1,1,1). I
think when modeling diff(y) the coefficients
2009 Jan 21
1
forecasting issue
Hello everybody!
I have a problem when I try to perform a forecast of an ARIMA model
produced by an auto.arima function. Here is what I'm doing:
c<-auto.arima(fil[[1]],start.p=0,start.q=0,start.P=0,start.Q=0,stepwise=TRUE,stationary=FALSE,trace=TRUE)
# fil[[1]] is time series of monthly data
ARIMA(0,0,0)(0,1,0)[12] with drift : 1725.272
ARIMA(0,0,0)(0,1,0)[12] with drift
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.
2013 Mar 22
0
predict.Arima error "'xreg' and 'newxreg' have different numbers of columns"
Hello all,
I use arima to fit the model with
fit <- arima(y, order = c(1,0,1), xreg = list.indep, include.mean = TRUE)
and would like to use predict() to forecast:
chn.forecast <- rep(0,times=num.record)
chn.forecast[1] <- y[1]
for (j in 2:num.record){
indep <- c(aa=chn.forecast[j-1], list.indep[j,2:num.indep]) # this is the newxreg in the
2010 Mar 31
1
predict.Arima: warnings from xreg magic
When I run predict.Arima in my code, I get warnings like:
Warning message:
In cbind(intercept = rep(1, n), xreg) :
number of rows of result is not a multiple of vector length (arg 1)
I think this is because I'm not running predict.Arima in the same
environment that I did the fit, so the data object used in the fit is no
longer present. Looking at the predict.Arima source,
2009 Feb 17
0
What's the predict procedure of ARIMA in R?
Hello,guys:
Recently, I am working on a seasonal ARIMA model. And I met some problem in the forecasting.
Now I just want to know that How does R perform the predict procedure(the predict formula, the initial setting of errors,etc.)?
I run the following commands and get the original code of the "predict" command, but I can't read it.
Can anybody explain it to me?
Thanks!
saji from
2009 Feb 25
1
Problems with ARIMA models?
Dear R,
I have find a website where they report problem with ARIMA models in R. I
run the examples there and they give result as shown on the website. Does
this mean that nothing has corrected in R? Maybe you not have seen the
page, but the author said he contacted you.
Here is the URL: http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
I like to know your opinion.
Mvh.
Marie
[[alternative
2009 Feb 25
1
Problems with ARIMA models?
Dear R,
I have find a website where they report problem with ARIMA models in R. I
run the examples there and they give result as shown on the website. Does
this mean that nothing has corrected in R? Maybe you not have seen the
page, but the author said he contacted you.
Here is the URL: http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
I like to know your opinion.
Mvh.
Marie
[[alternative
2007 Mar 02
0
R: ARIMA forecasting
Dear all,
I just have a short question regarding the forecasting of ARIMA models with
external regressors.
I tried to program a ARX(1) model
arx.mod <- arima(reihe.lern, order = c(1, 0, 0), seasonal =
list(order = c(0, 0, 0), period = 52), xreg = lern.design, include.mean =
TRUE)
for which I need to estimate the next (105th) value. Xreg=lern.design is -
at this time - 104 rows long. I
2012 Aug 27
2
Assigning colors on low p-values in table
Hi all R-users,
I?m trying to assign colors on those p-value in my table output that fall
above a certain critical value, let?s say a p-value >0.05.
My table looks like this:
Assets ADF-Level P-Value
ADF-First D P-Value ADF-Second D P-Value
[1,] Liabilities -2.3109 0.1988 -3.162
0.025 -6.0281
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
2005 Jul 08
1
help with ARIMA and predict
I'm trying to do the following out of sample
regression with autoregressive terms and additional x
variables:
y(t+1)=const+B(L)*y(t)+C(1)*x_1(t)...+C(K)*x_K(t)
where:
B(L) = lag polynom. for AR terms
C(1..K) = are the coeffs. on K exogenous variables
that have only 1 lag
Question 1:
-----------
Suppose I use arima to fit the model:
2003 Dec 18
0
Help with predict.Arima with external regressor values
Hi all there
I am enjoying R since 2 weeks and I come to my first deadlock, il am trying
to use predict.Arima in the ts package.
I get a "Error in cbind(...) : cannot create a matrix from these types"
-- Start R session -----------------------------------------------------
> fitdiv <- arima(data, c(2, 0, 3), xreg = y ) ; print(fitdiv)
Call:
arima(x = data, order = c(2, 0, 3),
2003 Apr 21
2
Anyone Familiar with Using arima function with exogenous variables?
I've posted this before but have not been able to locate what I'm doing
wrong. I cannot determine how the forecast is made using the estimated
coefficients from a simple AR(2) model when there is an exogenous
variable. Does anyone know what the problem is? The help file for arima
doesn't show the model with any exogenous variables. I haven't been able
to locate any documents
2015 May 21
0
Fix for bug in arima function
>>>>> peter dalgaard <pdalgd at gmail.com>
>>>>> on Thu, 21 May 2015 11:03:05 +0200 writes:
> On 21 May 2015, at 10:35 , Martin Maechler <maechler at lynne.stat.math.ethz.ch> wrote:
>>>
>>> I noticed that the 3.2.1 release cycle is about to start. Is there any
>>> chance that this fix will make it into
2015 May 21
3
Fix for bug in arima function
On 21 May 2015, at 12:49 , Martin Maechler <maechler at lynne.stat.math.ethz.ch> wrote:
>>>>>> peter dalgaard <pdalgd at gmail.com>
>>>>>> on Thu, 21 May 2015 11:03:05 +0200 writes:
>
>> On 21 May 2015, at 10:35 , Martin Maechler <maechler at lynne.stat.math.ethz.ch> wrote:
>
>>>>
>>>> I noticed that