Re: [R] R 'arima' discrepancies

As the original author of what became "BFGS" in optim(), I would point out that BFGS is a catch-all phrase that should be applied only to the formula used to update EITHER (my emphasis) the approximate Hessian or the INVERSE approximate Hessian. The starting approximation can vary as well, alon

[R] R 'arima' discrepancies

Rob J Hyndman gives great explanation here (https://robjhyndman.com/hyndsight/estimation/) for reasons why results from R's arima may differ from other softwares. @iacobus, to cite one, 'Major discrepancies between R and Stata for ARIMA' (https://stackoverflow.com/questions/22443395/major-dis

Re: [R] arima/fixed

> Martin Maechler > on Sat, 30 Jan 2021 12:21:14 +0100 writes: > Rolf Turner > on Sat, 30 Jan 2021 16:11:32 +1300 writes: >> On Fri, 29 Jan 2021 12:47:25 + Nasia Petsa >> wrote: >>> Dear all, >>> >>> I have the following problem with determinin

Re: [R] arima/fixed

> Rolf Turner > on Sat, 30 Jan 2021 16:11:32 +1300 writes: > On Fri, 29 Jan 2021 12:47:25 + > Nasia Petsa wrote: >> Dear all, >> >> I have the following problem with determining the argument fixed in >> arima function. What is the length of argument fix

Re: [R] arima/fixed

On Fri, 29 Jan 2021 12:47:25 + Nasia Petsa wrote: > Dear all, > > I have the following problem with determining the argument fixed in > arima function. What is the length of argument fixed for an > ARIMA(1,0,0)(0,1,1) and what is the correct order for the parameters Hmm. The help is in

[R] arima/fixed

Dear all, I have the following problem with determining the argument fixed in arima function. What is the length of argument fixed for an ARIMA(1,0,0)(0,1,1) and what is the correct order for the parameters ? [[alternative HTML version deleted]] __

[R] ARIMA model and xreg with R

Dear all, I am struggling in order to use successively in R the functions arima and forecast.Arima with an external regressor vector xreg. Could anyone provide me with a quick example of forecasts with external regressors using these two functions? Many thanks in advance, Thibaut

Re: [R] arima time series in R

a2 signify here.. how do I further predict from these coefficients.. -Original Message- From: Aakanksha Dahiya01 Sent: Monday, June 10, 2013 9:54 AM To: 'Prof Brian Ripley' Cc: r-help@r-project.org Subject: RE: [R] arima time series in R I am just performing arima time series

Re: [R] arima time series in R

akanksha Dahiya01 Cc: r-help@r-project.org Subject: Re: [R] arima time series in R On 07/06/2013 12:21, Aakanksha Dahiya01 wrote: > > Hi > > Could just anyone explain me the coefficients in the output of arima > model The person who wrote the help page already di

Re: [R] arima time series in R

: r-help@r-project.org Subject: Re: [R] arima time series in R On 07/06/2013 12:21, Aakanksha Dahiya01 wrote: > > Hi > > Could just anyone explain me the coefficients in the output of arima > model The person who wrote the help page already did, but that is hardly 'just anyone'.

Re: [R] arima time series in R

On 07/06/2013 12:21, Aakanksha Dahiya01 wrote: Hi Could just anyone explain me the coefficients in the output of arima model The person who wrote the help page already did, but that is hardly 'just anyone'. timeseriesarima <- arima(series, order=c(1,1,2)) timeseriesarima Series: series

[R] arima time series in R

Hi Could just anyone explain me the coefficients in the output of arima model timeseriesarima <- arima(series, order=c(1,1,2)) > timeseriesarima Series: series ARIMA(1,1,2) Coefficients: ar1 ma1 ma2 0.9744 -1.7695 0.7873 s.e. 0.0310 0.0481 0.0426 sigma^2 estimated

Re: [R] arima prediction

On 19-05-2013, at 05:25, Preetam Pal wrote: > Hi, > > Thanks Rui, but the problem is at this point, I don't want to predict. > I want to see for the time being, how good my model fits the previous data > points. > So, if I specify n.ahead=-1 (or any -ve value) , R shows an error like: > Error i

Re: [R] arima prediction

Hi, Thanks Rui, but the problem is at this point, I don't want to predict. I want to see for the time being, how good my model fits the previous data points. So, if I specify n.ahead=-1 (or any -ve value) , R shows an error like: Error in rep(1, n.ahead) : invalid 'times' argument How do I get thi

Re: [R] arima prediction

Hello, At an R prompt type ?predict.Arima Hope this helps, Rui Barradas Em 18-05-2013 21:42, Preetam Pal escreveu: Hi all, I have a time series Y which I have modelled as ARIMA(2,0,2) by using the arima function . I want to know the model predicted values so that I can compare them with the

[R] arima prediction

Hi all, I have a time series Y which I have modelled as ARIMA(2,0,2) by using the arima function . I want to know the model predicted values so that I can compare them with the actual values. Which function do I need to use to get the predicted values? I have tried to find out, but with no luck ti

[R] Arima model estimated by Maximum likelihood conditional on a zero initial residual

Hello, I would like to estimate Arima model by Maximum likelihood conditional on a zero initial residual. I am using: model <- arima(y[1:N], order=c(1, 0, 1), method="ML", include.mean=TRUE) model What I have to use to estimate arima model by Maximum likelihood conditional on a zero initial resid

[R] ARIMA\GARCH forcasting

Hi, I am new to using R and time series analysis in general. I have written code to combine ARIMA + GARCH in forcasting. I am finding it hard to actually get predicted values once I have model built and fit it to data series. i.e. how can I use predict function to give me n.ahead = k number of va

[R] arima forecast without the first order of auto-regressor

Hi, I want to predict using airma, but I want to predict using t-2 or t-3, instead of t-1 right now the arima() function doesn't allow me to do that, it will alwasy return with variable t-1 , what is the way to skip that variable? thanks ®ards -- View this message in context: http://r.789695.n

[R] arima forecasting problem

Hi all, I am running into a problem using forecast with ARIMA models, hope you can help shed some light onto this. I am fitting several ARIMA models using the auto.arima() function onto several time series, which are basically the residuals from a linear model fit. There are 40 such data points i

Re: [R] Arima model, breusch godfrey/breusch pagan test

On Mon, 28 May 2012, and_mue wrote: Hi all I did an estimation of a simple regression model (ror_xxx~ror_spi_xxx) and assessed the quality of this estimation. After having detected that there are indications of autocorrelatio and an AR(1) process, I used an arima model: absi.arima=arima(ror_ab

[R] Arima model, breusch godfrey/breusch pagan test

Hi all I did an estimation of a simple regression model (ror_xxx~ror_spi_xxx) and assessed the quality of this estimation. After having detected that there are indications of autocorrelatio and an AR(1) process, I used an arima model: absi.arima=arima(ror_absi, order=c(1,0,0), xreg=ror_spi_absi)

Re: [R] Arima Models - Error and jump error

rror messages as these tools follow downhill directions until they are in very weird parts of parameter spaces. JN On 10/22/2011 06:00 AM, r-help-requ...@r-project.org wrote: > Message: 54 > Date: Fri, 21 Oct 2011 15:59:12 -0200 > From: Fl?vio Fagundes > To: r-help > Subject: [R

Re: [R] Arima Models - Error and jump error

Perhaps: require(forecast) ?auto.arima # Or look into package fitAR. The first performs seasonal optimization so it is likely better for your application. Ken Hutchison On Oct 21, 2554 BE, at 1:59 PM, Flávio Fagundes wrote: > Hi people, > > I´m trying to development a simple routine to ru

[R] Arima Models - Error and jump error

Hi people, I´m trying to development a simple routine to run many Arima models result from some parâmeters combination. My data test have one year and daily level. A part of routine is: for ( d in 0:1 ) { for ( p in 0:3 ) { for ( q in 0:3 ) { for ( sd in 0:1 ) {

Re: [R] ARIMA - Skipping intermediate lags

smaller (or, my prediction will be more accurate) isn't it? Thanks and regards, -Original Message- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Prof Brian Ripley Sent: 21 September 2011 13:32 To: leighton155 Cc: r-help@r-project.org Subject: R

Re: [R] ARIMA - Skipping intermediate lags

On Tue, 20 Sep 2011, leighton155 wrote: Hello, I am a new R user. I am trying to use the arima command, but I have a question on intermediate lags. I want to run in R the equivalent Stata command of ARIMA d.yyy, AR(5) MA(5 7). This would tell the program I am interested in AR lag 5, MA lag 5

[R] ARIMA - Skipping intermediate lags

Hello, I am a new R user. I am trying to use the arima command, but I have a question on intermediate lags. I want to run in R the equivalent Stata command of ARIMA d.yyy, AR(5) MA(5 7). This would tell the program I am interested in AR lag 5, MA lag 5, and MA lag 7, all while skipping the inte

Re: [R] ARIMA simulations

?arima.sim in the stats package included with the standard distribution of R. (gurus -- is this considered state of the art? thx) On Jul 25, 2011, at 12:14 PM, Luis Felipe Parra wrote: > Hello, > > I have estimated an ARIMA model and I would like to make simulations from > this estimate

[R] ARIMA simulations

Hello, I have estimated an ARIMA model and I would like to make simulations from this estimated model 1,5 and 10 steps ahead. Does anybody know how to do this? Thank You Felipe Parra [[alternative HTML version deleted]] __ R-help@r-project.or

[R] Arima and Sarima Models

Dears I would like to know the command line to: 1. plot the periodogram of a time series 2. To calculate a sazonal difference of the 7th order 3. Put the AR or MA term of the 9th order sazonal (or not-sazonal) part. 4. The significance level (P-value) for the estimated parameters of the ARMA(1,1),

[R] arima residuals

Hi I have fitted an arima model to a monthly series of length 113. I have use fit <- arima(x.ts, order = c(1,0,0),seas = list(order = c(1,2,1),12, method = "CSS") I'm a little confused because the series of residual has the first 46 values equal to 0. From there the residuals are approximately

[R] Arima contents

Hello, I'm running a number of arima models using the "arima" function. Often, when lag length gets too high, these model don't converge and an error message appears as this: > reg <- arima(y,order=c(7,0,7),xreg=isr) Warning message: In arima(y, order = c(7, 0, 7), xreg = isr) : possible converg

[R] arima/arima0 function

does the arima/arima0 function use the state space form of the model equation even when fitting with the "CSS"-method? regards Christoph [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman

Re: [R] ARIMA simulation including a constant

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 y

Re: [R] ARIMA simulation including a constant

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.

[R] ARIMA simulation including a constant

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

Re: [R] arima

Nuncio, No, there is no requirement to subtract the mean. It is required that the residuals are N.I.I.D. (ie constant mean and constant variance). If you have an upward trending series, for example, then the series would need to be "deseasonalized" so that it is constant. There are many many s

[R] arima

HI useRs, Is it required to remove mean before using ARIMA models thanks nuncio -- Nuncio.M Research Scientist National Center for Antarctic and Ocean research Head land Sada Vasco da Gamma Goa-403804 [[alternative HTML version deleted]] __

Re: [R] ARIMA models

To me what is looking most exotic is the different orders of integration of your models, which you are assuming starting from 1 through 5. All asymptotic results regrading the distribution of the model parameters based on the fact that original DGP has exactly 1 as the order of integration, becaus

[R] ARIMA models

I know for ARIMA models in R, there is an order parameter. I want to create a diverse set of ARIMA models by modifying the p,q,and d terms. I have a for loop that applies ARIMA models to a time series in this order: ARIMA(1,1,1) ARIMA(2,2,2) ARIMA(3,3,3) ARIMA(4,4,4) ARIMA(5,5,5). Does this make

Re: [R] ARIMA models - estimation prediction$se

Dear All Can anyone help me? fit <- arima(USAccDeaths, order = c(0,1,1),seasonal = list(order=c(0,1,1 fit$sigma2 [1] 99346.89 So, the standard error for my first step prediction is sqrt(fit$sigma2)=315.1934 like predict(fit, n.ahead = 6)$se[1] > predict(fit, n.ahead = 6) $pred Ja

Re: [R] ARIMA order

nuncio m wrote: Hi all, Is there any way in R to select the order of an ARIMA model automatically nuncio Rob Hyndman's package forecast has a function auto.arima which produces an automatic arima fit, including for seasonal models. David Scott -- ___

[R] ARIMA order

Hi all, Is there any way in R to select the order of an ARIMA model automatically nuncio -- Nuncio.M Research Scientist National Center for Antarctic and Ocean research Head land Sada Vasco da Gamma Goa-403804 [[alternative HTML version deleted]]

[R] Arima online forecasting

I'd like to have an online horizon=k forecast with Arima, something like: library(forecast) air.model = Arima(AirPassengers[0:100], c(1,0,1), seasonal=list(order=c(0,1,1), period=12)) for(i in 0:(length(AirPassengers)-100)) { air.model2 = Arima(AirPassengers[0:(100+i)], model=air.model)

Re: [R] Arima forecasting

> Matteo Bertini schrieb: >> >> Hello everyone, >> >> I'm doing some benchmark comparing Arima [1] and SVR on time series data. >> >> I'm using an out-of-sample one-step-ahead prediction from Arima using >> the "fitted" method [2]. >> >> Do someone know how to have a two-steps-ahead forecast timese

Re: [R] Arima forecasting

Hi Matteo, just use forecast.Arima() with h=2 to get forecasts up to 2 steps ahead. R will automatically use forecast.Arima() if you call forecast() with an Arima object. library(forecast) model <- auto.arima(AirPassengers) forecast(model,h=2) HTH, Stephan Matteo Bertini schrieb: Hello ev

[R] Arima forecasting

Hello everyone, I'm doing some benchmark comparing Arima [1] and SVR on time series data. I'm using an out-of-sample one-step-ahead prediction from Arima using the "fitted" method [2]. Do someone know how to have a two-steps-ahead forecast timeseries from Arima? Thanks, Matteo Bertini [1] htt

[R] 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 f

Re: [R] arima crashes too

Barry Rowlingson wrote: > > If you're doing anything in a loop that has the potential to fail > because of singularities or other conditions when your model can't be > fitted, you need to stick what you are doing in a 'try' clause. This > lets you trap errors and do something with them. > > Pl

Re: [R] arima crashes too

On Fri, Oct 23, 2009 at 12:32 PM, Alberto Monteiro wrote: > I mean that, if I run a loop, it doesn't finish. Or, more > catastrophically, if I am running a loop and saving data to an > open file, it terminates the loop and does not close the file. > > Reproducible example: > > test.arima <- funct

Re: [R] arima crashes too

Barry Rowlingson wrote: > >> However, arima crashes for this: >> >> arima(c(1.71, 1.78, 1.95, 1.59, 2.13), order=c(1,0,0)) > > I'm not getting what I'd call 'crashes' with your arma or arima > examples- I get an error message and a warning: > >> arma(c(2.01, 2.22, 2.09, 2.17, 2.42), order=c(1,0)

Re: [R] arima crashes too

On Thu, Oct 22, 2009 at 6:19 PM, Alberto Monteiro wrote: > Another pathological test. > > arima does not crash for that series that crashes arma: > > arima(c(2.01, 2.22, 2.09, 2.17, 2.42), order=c(1,0,0)) > > However, arima crashes for this: > > arima(c(1.71, 1.78, 1.95, 1.59, 2.13), order=c(1,0,0

[R] arima crashes too

Another pathological test. arima does not crash for that series that crashes arma: arima(c(2.01, 2.22, 2.09, 2.17, 2.42), order=c(1,0,0)) However, arima crashes for this: arima(c(1.71, 1.78, 1.95, 1.59, 2.13), order=c(1,0,0)) arima seems pretty consistent in its crashing behaviour, since crash

Re: [R] arima modeling for multiple time series

An R Site Search on the obvious strategy "arima Gilbert" produces two hits of which the first is: dse-package {dse1} On Jun 10, 2009, at 9:13 AM, Erin Hodgess wrote: Dear R People: Is there a package for arima modeling of multiple time series, please? I think that Dr. Paul Gilbert may have

[R] arima modeling for multiple time series

Dear R People: Is there a package for arima modeling of multiple time series, please? I think that Dr. Paul Gilbert may have one, but I'm drawing a blank on the package name. Thanks in advance, Sincerely, Erin -- Erin Hodgess Associate Professor Department of Computer and Mathematical Science

Re: [R] arima, xreg, and the armax model

Hi Marc- I have been [and am] extremely busy and haven't had much time to be a playeR (lately I've become more of a moveR and shakeR ... some say more of a boozeR and a loseR ... it's all prespective :). I've updated the web page with a little more info, but when I find the time I'll put up some

Re: [R] arima on defined lags

Gerard M. Keogh wrote: Dear all, The standard call to ARIMA in the base package such as arima(y,c(5,0,0),include.mean=FALSE) gives a full 5th order lag polynomial model with for example coeffs Coefficients: ar1ar2 ar3 ar4 ar5 0.4

[R] arima on defined lags

Dear all, The standard call to ARIMA in the base package such as arima(y,c(5,0,0),include.mean=FALSE) gives a full 5th order lag polynomial model with for example coeffs Coefficients: ar1ar2 ar3 ar4 ar5 0.4715 0.067 -0.1772 0.0

[R] 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 <> (by R.H. Shumway & D.S. Stoffer) This is quite surprising... Does anybody know anything about it? Marc Vinyes (AleaSoft) [[alternative

[R] 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 us

[R] arima additive seasonality

Hello! I asked in this forum about what kind of seasonality the function arima() from stats implements. Now that I have been answered that it implements the Box-Jenkins multiplicative seasonality, I would like to ask whether there is in R possibility to model ARIMA with additive seasonality. I m

[R] arima additive vs multiplicative seasonality

Hello! I would like to ask whether the seasonality implemented in arima() is additive or multiplicative? I searched a lot, but I could not find an answer to that question, although it has been asked other times too. Thank you very much for your attention. Regards, Martin _

Re: [R] ARIMA question

> Date: Mon, 23 Feb 2009 14:03:07 -0500 (EST) > From: otu...@clemson.edu > Sender: r-help-boun...@r-project.org > Importance: Normal > Precedence: list > User-Agent: SquirrelMail/1.4.13 > > Hello - > > How do I simulate multivariate ARIMA data? > You can use package dlm. There is a function --

[R] ARIMA question

Hello - How do I simulate multivariate ARIMA data? I am familiar with the "arima.sim" function, which I have used several times to generate univariate data, but when I type "help(arima.sim)", the information I get back reveals nothing about possible multivariate options. Please reply when you ge

Re: [R] Arima bug?

rkevinbur...@charter.net wrote: I was looking at the 'R' code associated with arima. I see the following: upARIMA <- function(mod, phi, theta) { p <- length(phi) q <- length(theta) mod$phi <- phi mod$theta <- theta r <- max(p, q + 1) if (p > 0)

[R] Arima bug?

I was looking at the 'R' code associated with arima. I see the following: upARIMA <- function(mod, phi, theta) { p <- length(phi) q <- length(theta) mod$phi <- phi mod$theta <- theta r <- max(p, q + 1) if (p > 0) mod$T[1:p, 1] <- phi

Re: [R] ARIMA models

see auto.arima in the forecast package. On Tue, Feb 17, 2009 at 10:20 AM, emj83 wrote: > > is there some sort of R function which can advise me of the best ARIMA(p,q,r) > model to use based on the Schwarz criterion e.g for e.g p=0-5, q =0, r=0-5 > or for example p+r< 5??? > > or is this something

[R] ARIMA models

is there some sort of R function which can advise me of the best ARIMA(p,q,r) model to use based on the Schwarz criterion e.g for e.g p=0-5, q =0, r=0-5 or for example p+r< 5??? or is this something I will have to write my own code for? Thanks Emma -- View this message in context: http://www.n

[R] arima function fix the coefficients

Dear all, How can I fix the all coefficients of ar and ma, except for the sigma? Hoping this helps, Bernardo __ 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/p

Re: [R] ARIMA - h-step ahead errors

I have looked at the predict.Arima and its a fact that it returns the s.e. for several steps ahead. What I was wondering was if there was a way to access to the h-step ahead fitted innovations that underlie them. Nuno Prof Brian Ripley wrote: On Sat, 18 Oct 2008, Nuno Prista wrote: Dear c

Re: [R] ARIMA - h-step ahead errors

On Sat, 18 Oct 2008, Nuno Prista wrote: Dear colleagues, “arima” returns directly the 1-step ahead errors but I am interested in obtaining other h-step ahead errors for several ARIMA models I have fitted. Is there any way I can obtain this with R? Any help would be appreciated. See ?predict

[R] ARIMA - h-step ahead errors

Dear colleagues, “arima” returns directly the 1-step ahead errors but I am interested in obtaining other h-step ahead errors for several ARIMA models I have fitted. Is there any way I can obtain this with R? Any help would be appreciated. Sincerely, Nuno Prista _

Re: [R] arima and xreg

Thats nice thanks =) .. I can trick R to do multivariate armax with lagged inputs as well and I bet R people didnt designed it that way (but the idea is the same when doing MLE, it must work).. anyway.. I wrote a small code (you can change it if you want) that does armax with multiple inputs in ma

Re: [R] arima and xreg

You can have lagged inputs in the xreg statement, you just have to construct the input matrix properly so the dimensions are the same, e.g., x = ts.intersect(mort, trend, part, lag(part,-4)) arima(x[,1],order=c(2,0,1), xreg=x[,2:4]) ... and yes you have to worry about singularities or even multi

Re: [R] arima and xreg

On Sep 11, 6:24 am, David Stoffer <[EMAIL PROTECTED]> wrote: > Your model is close, but not correct... there are no t's on the parameters > and the U's aren't lagged. > > You can find an ARMAX example on our "quick fix" > page:http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm. T

Re: [R] arima and xreg

Your model is close, but not correct... there are no t's on the parameters and the U's aren't lagged. You can find an ARMAX example on our "quick fix" page: http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm . The example is near the bottom and just above the spectral analysis e

[R] arima and xreg

Dear R-help-archive.. I am trying to figure out how to make arima prediction when I have a process involving multivariate time series input, and one output time series (output is to be predicted) .. (thus strictly speaking its an ARMAX process). I know that the arima function of R was not designe

Re: [R] arima forecast function

t;> >> >> I was finally able to get it installed by using the menus provided. >> Thanks >> for your help. >> >> >> Nordlund, Dan (DSHS/RDA) wrote: >>> >>>> -Original Message- >>>> From: [EMAIL PROTECTED] >>>> [m

Re: [R] arima forecast function

>>> From: [EMAIL PROTECTED] >>> [mailto:[EMAIL PROTECTED] On Behalf Of warthog29 >>> Sent: Tuesday, August 12, 2008 3:40 PM >>> To: r-help@r-project.org >>> Subject: [R] arima forecast function >>> >>> >>> hi: >>> &

Re: [R] arima forecast function

ble to get it installed by using the menus provided. Thanks for your help. Nordlund, Dan (DSHS/RDA) wrote: > >> -Original Message- >> From: [EMAIL PROTECTED] >> [mailto:[EMAIL PROTECTED] On Behalf Of warthog29 >> Sent: Tuesday, August 12, 2008 3:40 PM >>

Re: [R] arima forecast function

> -Original Message- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of warthog29 > Sent: Tuesday, August 12, 2008 3:40 PM > To: r-help@r-project.org > Subject: [R] arima forecast function > > > hi: > > I am trying to fit prediction int

[R] arima forecast function

hi: I am trying to fit prediction intervals for an arima object. My search led me to the link: http://finzi.psych.upenn.edu/R/library/forecast/html/forecast.Arima.html which has the function "forecast", as I wanted. However, when I try to run it in R, I get the message: Error in plot(forecast(

Re: [R] ARIMA, AR, STEP - [ ] Message is from an unknown sender

ict method. Library forecasting seems to do something this way but documentation is not so exhaustive. Thanks -Original Message- From: Prof Brian Ripley [mailto:[EMAIL PROTECTED] Sent: giovedì 8 maggio 2008 14.48 To: Daniele Amberti Cc: r-help@r-project.org Subject: Re: [R] ARIMA

Re: [R] ARIMA, AR, STEP

On Thu, 8 May 2008, Daniele Amberti wrote: Here is my problem: Autoregressive models are very interesting in forecasting consumptions (eg water, gas etc). Generally time series of this type have a long history with relatively simple patterns and can be useful to add external regressors for ca

[R] ARIMA, AR, STEP

Here is my problem: Autoregressive models are very interesting in forecasting consumptions (eg water, gas etc). Generally time series of this type have a long history with relatively simple patterns and can be useful to add external regressors for calendar events (holydays, vacations etc). ari

[R] ARIMA and sig. tests

Why in arima output there is no significance tests of estimated parameters as in regression models? I know that I have s.e. and I could build these test by myself but are there any reasonable reasons? Best, Rob __ R-help@r-project.org mailing list ht

Re: [R] arima changes from 2.6.0

Duncan Murdoch wrote: > Gad Abraham wrote: >> Hi, >> >> In 2.6.0 arima() used to return an object with attribute `x' which is >> the observed time series, but this has been dropped from 2.6.1. >> >> This breaks the forecast function in package forecast. >> >> There's no mention of it in the change

Re: [R] arima changes from 2.6.0

Gad Abraham wrote: > Hi, > > In 2.6.0 arima() used to return an object with attribute `x' which is > the observed time series, but this has been dropped from 2.6.1. > > This breaks the forecast function in package forecast. > > There's no mention of it in the changelog for 2.6.1. > > Is this a bug

[R] arima changes from 2.6.0

Hi, In 2.6.0 arima() used to return an object with attribute `x' which is the observed time series, but this has been dropped from 2.6.1. This breaks the forecast function in package forecast. There's no mention of it in the changelog for 2.6.1. Is this a bug or a feature? Thanks, Gad -- Ga

Re: [R] ARIMA problem

I agree with Wensui, if you have a low order ARIMA model it is possible to get forecasts with the same values. Wensui Liu expressed precisely : > Hi, Sandeep, > what is your specification of p, d, q? it is not surprising to have > all forecasted with same value. > > > On 12/24/07, Sandeep Nikam <

Re: [R] ARIMA problem

Hi, Sandeep, what is your specification of p, d, q? it is not surprising to have all forecasted with same value. On 12/24/07, Sandeep Nikam <[EMAIL PROTECTED]> wrote: > Hi, > > This is regarding the ARIMA model. > > I am having time series data of stock of 2000 values. Using the ARIMA model > in

[R] ARIMA problem

Hi, This is regarding the ARIMA model. I am having time series data of stock of 2000 values. Using the ARIMA model in R, I want the forcasted values for next 36 time points. However when I run this model in R, I am getting same value for all 36 time points. I have tried to fit the data with ARI