That output is not from arima(), which is the function paired with
arima.sim(). Nor is it from arima0(), so I don't believe it is
'ouptut from R' (perhaps from a contributed package you have not
mentioned?).
With arima(), the intercept is 'm' in the notation on the help page
and not 'a' in your personal re-definition. You can easily go from
one to the other by some trivial algebra ( a = m*(1-sum(ar)) ), but
you do need to be sure what the unstated function you use is using.
On Mon, 3 Jan 2011, Paolo Rossi wrote:
Sorry I am not really sure I have been taht clear.
I meant ARMA which is not bound to have zero mean. More precisely, suppose I
estimate y(t) = a + by(t-1) + e(t) + ce(t-1) , i.e. and ARMA(1,1). My
question is how do I simulate values for yt given the values for a, b and c?
My problem with arima.sim is that I cannot find a way to pass the value for
the constant a.
Output from R is:
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
ar1 0.82978 0.01033 80.297 < 2e-16 ***
ma1 0.46347 0.01548 29.942 < 2e-16 ***
intercept -0.02666 0.01012 -2.635 0.00841 **
---
Intercept is significant and I suppose it should be used if I want simulate
values from this ARMA(1,1)
Thanks and Apologies for not being clear
Paolo
On 3 January 2011 16:46, Prof Brian Ripley <rip...@stats.ox.ac.uk> wrote:
On Mon, 3 Jan 2011, Paolo Rossi wrote:
Hi,
I have been looking at arima.sim to simulate the output
from an ARMA model
fed with a normal and uncorrelated input series but I
cannot find a way to
pass an intercept / constant into the model. In other
words, the model input
in the function allows only for the AR and MA components
but I need to pass
a constant.
Can anyone help?
Well, an ARIMA model by definition has zero mean (as the link on the
help page for arima.sim to the exact definition tells you). Perhaps
you mean that (X-m) = Z follows an ARIMA model, in which case simulate
Z and add m. For a differenced ARIMA model it is not clear if you
meant that you wanted an intercept for the original or differenced
series: for the latter simply simulate the differenced series, add the
intercept and use diffinv().
Thanks
Paolo
[[alternative HTML version deleted]]
Please do as we asked in the posting guide and not send HTML.
--
Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
--
Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
