Displaying 20 results from an estimated 1000 matches similar to: "How to fit ARMA model"
2011 Aug 05
2
Loop: noob question
Hi,
Can someone help me out to create a (for?) loop for the following procedure:
x=rnorm(250,0,0.02)
library(timeSeries)
x=timeSeries(x)
P=1000
loss=-P*x
loss
2011 May 17
0
Hi! Help using FitARMA package in RExcel
Hi all :)
Before posting, I used the "search" function to find a solution, but I
wasn't lucky.
I'm using RExcel; I've read several examples which explain how to call in
RExcel an R function via =RApply(...) but I don't understand how may I
include in the function several numeric arguments.
Take this example: I want to use the following R function from
2003 May 16
3
ARMA.predict?
Hi there,
Does anyone know how to predict ARMA? It doesn?t have either predict or forecast methods. I found couple of packages called fbasic and fseries at http://www.itp.phys.ethz.ch/econophysics/R/, which has ?arma.predict? in it, but it doesn?t seem to be working. Any help in this regard would be appreciated. Thanks in advance.
Regards
Skanda Kallur
"Prediction is very difficult,
2009 Mar 05
2
Overriding contributed package functions
The "tsdiag" function in the TSA package overrides the "tsdiag" function in
the "stats" package. There are a few annoying bugs in the TSA's version of
the function so I would like to use the "stats" function but still have
access to other TSA functions. I have tried using stats::tsdiag( ) but as
long as the TSA package is attached the function from
2006 Mar 28
1
Having trouble with tsdiag function on a time series
Hello,
I'm getting the following error message when I try to run 'tsdiag' on what seems to be a valid time series:
> tsdiag(small)
returns:
[Error in tsdiag(small) : no applicable method for "tsdiag"]
where small is a little test series where I have isolated this problem (the original has 30-years worth of daily data)
When I print it (small), it looks like the
2004 Nov 15
2
tsdiag() titles
I am using the ts package to fit ARIMA models, and the tsdiag() function to
plot diagnostics. In doing so I'm generating an awful lot of diagnostic
plots of different models and different data sets all within the same R
session. So my question is, is there an option in tsdiag() similar to
<main="Title"> that I can use? This would be quite helpful when I print out
the plots,
2009 Feb 03
1
Time series plots with ggplot
Hi,
I am newbie user of ggplot and would like some assistance in
implementing time series plots.
I'd like to know how the tsdiag plot can be made in ggplot?
Thanks
Harsh Singhal
Decisions Systems,
Mu Sigma Inc.
2007 Aug 06
0
KMO sampling adequacy and SPSS -- partial solution
Hello,
This is in response to a post from a couple of years back regarding
Kaiser-Meyer-Olkin Measures of Sampling Adequacy.
(http://tolstoy.newcastle.edu.au/R/help/05/12/17233.html)
As it turns out, last year Trujillo-Ortiz et al. at the Universidad
Autonoma de Baja California wrote and posted a script for MATLAB that
does the job. You can see it (with a discussion of KMO statistics) at
2005 Dec 07
1
KMO sampling adequacy and SPSS -- partial solution
Dear colleagues,
I've been searching for information on the Kaiser-Meyer-Olkin (KMO)
Measure of Sampling Adequacy (MSA). This statistic is generated in
SPSS and is often used to determine if a dataset is "appropriate" for
factor analysis -- it's true utility seems quite low, but it seems to
come up in stats classes a lot. It did in mine, and a glance through
the R-help
2010 Jul 22
1
tsdiag
HI list,
I want to know whether tsdiag uses k-(p+q) as the lag in ljung box
test. How is it possible to save those values
nuncio
--
Nuncio.M
Research Scientist
National Center for Antarctic and Ocean research
Head land Sada
Vasco da Gamma
Goa-403804
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2007 Oct 22
1
Newbie help: Data in an arma fit
I'd like to fit an ARMA(1,1) model to some data (Federal Reserve Bank
interest rates) that looks like:
...
30JUN2006, 5.05
03JUL2006, 5.25
04JUL2006, N <---- here!
05JUL2006, 5.25
...
One problem is that holidays have that "N" for their data. As a test, I
tried fitting ARMA(1,1) with and without the holidays deleted. In other
words, I fit the above data
2004 Oct 25
1
output processing / ARMA order identification
Dear R users,
I need to fit an ARMA model. As far as I've seen, EACF (extended ACF)
is not available in R.
1. Let's say I fit a series of ARMA models in a loop. Given the
code/output included below, how do I pull 'Model' and 'Fit' (AIC)
from each summary() so that I can combine them into an array/data
frame to be sorted by AIC?
2. Apart from EACF, are you aware perhaps
2011 Oct 12
0
ARMA and prediction
Hello,
I am running an ARMA model to run forecast for changes in S&P 500 prices.
My ARMA calculations look as follows
armacal <- arma( spdata, order = c(0,4), lag = list(ma = c(1,2,4)) )
Output:
Call:
arma(x = spdata, order = c(0, 4), lag = list(ma = c(1, 2, 4)) )
Coefficient(s):
ma1 ma2 ma4 intercept
-0.073868 0.058020 -0.081292 0.007082
All's
2009 Apr 29
1
arma model with garch errors
Dear R experts,
I am trying to estimate an ARMA 2,2 model with garch errors.
I used the following code on R 2.9.
#library
library(fGarch)
#data
data1<-ts(read.table("C:/Users/falcon/Desktop/Time
Series/exports/goods1.csv"), start=c(1992,1), frequency=12)
head(data1)
#garch
garchFit(formula.mean= ~arma(2,2),formula.var=~garch(1,1), data=data1)
but get this error:
>
2011 May 08
1
ARMA
Hello,Could somebody tell me what is the difference between theese 3 calls of functionsarma(x,order=c(1,0)), arima(x,order=c(1,0,0)) ar(x,order=1)?I expected same residuals of theese three models,but unexpectably for the first two R requiredinitial value of something (what?)...Thanks in advance!
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1999 Nov 14
1
bug in arma.sim (PR#322)
Dear Sir,
I think I found a bug in the function arma.sim, which is defined in
the help page of the function filter:
arma.sim <- function(n, ar = NULL, ma = NULL, sigma = 1.0)
{
x <- ts(rnorm(n+100, 0, sigma^2), start = -99)
if(length(ma)) x <- filter(x, ma, sides=1)
if(length(ar)) x <- filter(x, ar, method="recursive")
as.ts(x[-(1:100)])
}
I am using R
2004 Feb 12
0
How to predict ARMA models?
Hi all,
I am fitting an ARMA(1,(1,4)) model.
y(t) = a*y(t-1) + e(t) + b1*e(t-1) + b4*e(t-4)
> arma1.14 <- arma(series, lag=list(ar=1, ma=c(1,4)),
+ include.intercept = F, qr.tol = 1e-07)
works fine:
Coefficient(s):
ar1 ma1 ma4
0.872 -0.445 0.331
I want to forecast 50 periods.
I could not find a 'predict' function for ARMA models.
I
2010 Aug 23
1
Fitting a regression model with with ARMA error
Hi,
I want to fit a regression model with one independent variable. The error
part should be fitted an ARMA process.
For example,
y_t = a + b*x_t + e_t where e_t is modelled as an ARMA process.
Please let me know how do I do this in R. What code should I use?
TIA
Aditya
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2006 Aug 14
1
ARMA(1,1) for panel data
Dear List,
I am new to TS-Modeling in R. I would like to fit an ARMA(1,1) model
for a balanced panel, running Y on a full set of unit and year dummies
using an arma(1,1) for the disturbance:
y_it=unit.dummies+yeardummies+e_it
where: e_it=d*e_it-1+u_it+q*u_it-1
How can I fit this model in R? arma() does not seem to take covariates
(or I don't understand how to specify the function so that
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