Displaying 20 results from an estimated 1200 matches similar to: "arima() function - issues"
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
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
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
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,
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
2013 Jul 18
1
Difference between arima(1, 1, 1) of y and arima(1, 0, 1) of diff(y)
Dear all,
When I run an arima(1,1,1) on an I(1) variable, y, I get different estimates to when I first difference the variable myself, e.g y2<-diff(y), and then run arima(1,0,1) on y2. Shouldn't these two approaches give the same output?
Any help will be much appreciated.
george
2009 Mar 08
0
ARIMA second order differencing problem
Hi,
I have been using this site (
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm) to help me with some
ARIMA modelling in R.
Unfortunately the methods mentioned do not appear to work with second order
differencing; arima(*, 2, *).
I have used some dummy data to illustrate my point.
When I use the xreg=... method, the estimate of intercept is *way* off. This
can be seen by the high s.e but I
2009 Mar 26
1
arima, xreg, and the armax model
Hello all,
I''m having fun again with the arima function. This time I read in:
http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm
<<It has recently been suggested (by a reliable source) that using xreg in
arima() does NOT fit an ARMAX model [insert slap head icon here]. This will
be investigated as soon as time permits.>>
(by R.H. Shumway & D.S. Stoffer)
2009 Nov 16
1
ARMAX model fitting with arima
I am trying to understand how to fit an ARMAX model with the arima
function from the stats package. I tried the simple data below, where
the time series (vector x) is generated by filtering a step function
(vector u, the exogenous signal) through a lowpass filter with AR
coefficient equal to 0.8. The input gain is 0.3 and there is a 0.01
normal white noise added to the output:
x <- u
2009 Apr 22
1
arima
Hi,
I have a suggestion for the fonction arima and arima0. I think you
should not call the constant an intercept because it creates confusion.
It is not really an intercept but a mean. For an AR(1) the intercept mu
should be defined as:
X(t)=mu + phi X(t-1) + e(t)
What you call intercept mu is rather defined as
(X(t)-mu) = phi (X(t-1)-mu)) + e(t)
which is not a common way to define an
2010 Jan 30
2
question about time series objects
Hi All,
I have a very simple question about a time series object: how to access
values for a particular year and quarter (say)?
Suppose, following
http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm
I have read in data as a time series; here is how it looks.
* Qtr1 Qtr2 Qtr3 Qtr4
1960 0.71 0.63 0.85 0.44
1961 0.61 0.69 0.92 0.55
. . . . .
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),
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
2008 Mar 05
1
Need help for calculating cross-correlation between 4 multivariate time series data
Hi all,
I would like to know whether there is any function in R were i can
find the cross-correlation of two or more multivariate (time series) data. I
tried the function ccf() but it seems like to have two univariate datasets.
Please let me know.
sincerely,
sandeep
--
Sandeep Joseph PhD
Post Doctoral Associate
Center for Tropical & Emerging Global Diseases
Paul D. Coverdell Center,
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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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
2011 Jun 08
1
Autocorrelation in R
Hi,
I am trying to learn time series, and I am attending a colleague's
course on Econometrics. However, he uses e-views, and I use R. I am
trying to reproduce his examples in R, but I am having problems
specifying a AR(1) model. Would anyone help me with my code?
Thanks in advance!
Reproducible code follows:
download.file("https://sites.google.com/a/proxima.adm.br/main/ex_32.csv
2007 Nov 15
3
kalman filter estimation
Hi,
Following convention below:
y(t) = Ax(t)+Bu(t)+eps(t) # observation eq
x(t) = Cx(t-1)+Du(t)+eta(t) # state eq
I modified the following routine (which I copied from: http://www.stat.pitt.edu/stoffer/tsa2/Rcode/Kall.R) to accommodate u(t), an exogenous input to the system.
for (i in 2:N){
xp[[i]]=C%*%xf[[i-1]]
Pp[[i]]=C%*%Pf[[i-1]]%*%t(C)+Q
siginv=A[[i]]%*%Pp[[i]]%*%t(A[[i]])+R
2008 Jan 01
0
Wish List
Most of the items on this list have been mentioned before but it
may be useful to see them altogether and at any rate every year
I have posted my R wishlist at the beginning of the year.
High priority items pertain to the foundations of R (promises,
environments) since those form the basis of everything
else and the foundation needs to be looked after first.
The medium items are focused on